We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high …-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a … penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

This paper tackles the issue of risk governance of the banking sector. Since the 2007 financial crisis, there has been … an increased awareness of risk governance in the banking sector. The importance of banking to the economy is such that … determine their own level of risk. Yet, the recent crisis has prompted a need to examine fundamentally the governance of risk …

This paper focuses on the impact of economic policy uncertainty on risk spillovers within the Eurozone and contributes …) in the framework of financial systemic risk to sovereign bond market. Accordingly, we attempt (i) to measure the extent … (ii) to identify the determinants of risk spillovers by using a dynamic panel data model with macroeconomic state …

to force banks to develop adequate internal risk management procedures while taking a largely agnostic approach as to … downplay risk, while large financial institutions gain a significant advantage and the distribution of responsibility between …-grained guidance on how banks should evaluate climate risk. Although we broadly think this approach is the more effective route to …

important data gap. We focus on German banks and measure their exposure to climate risk using CO2 emissions reported for German … bank risk, and investigate the concentration of emissions, companies, and plants within the portfolios of German banks …