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 …

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

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 …

paper we study the European bank network and its vulnerability to stressing differ- ent bank assets. The importance of macro … bipartite network with bank nodes on one hand and asset nodes on the other with weighted links between the two layers based on … stressing the bank network and find that while the system is able to withstand shocks for a wide range of parameters, we …