Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2014
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 …