We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …

contributions. For the purposes of surveillance and regulation of financial systems, network dependencies in extreme risks are more … sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected … in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and … low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the …

network are analyzed with Machine Learning, obtaining as push and pull bank variables solvency and bank income structure …This article begins with an analysis of banking flows in the euro zone, through a complex network, from 2006 to 2020 …. This analysis allows us to observe the topology of the network through different phases of the business cycle. It is …

Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …

interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The … supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of … are reflected in a consistent way in the market value of banks' mutual liabilities through the network of obligations. We …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …

key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of …

banking sector using publicly available information. The proposed model makes use of the network structure of financial ….e. BMA-LOESS. The network structure of the financial sector is analysed by computing measures of network centrality (degree …

interconnected banking systems and channel financial distress within a network consisting of banking systems of main advanced …