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 …

should be nowadays replaced with a network-oriented view. Closer insight into the concept of systemic risk can refer to the … have disastrous effects and cause extreme damage as the number of network nodes goes to infinity. Strongly interconnected …

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 …

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 …

, we construct a bipartite financial network and design novel indicators to analyze the systemic risk of China’s banking … the most significant source of systemic vulnerability in China; (3) the derived contagion network shows the property of …; (4) a bank’s systemic importance/vulnerability depends on complex interaction between asset volume, leverage rate, and …

We construct an empirical measure of expected network spillovers that arise through default cascades for the U … firms that comprises all bank holding companies, all broker-dealers, and all insurance companies, and consider their entire …

economy. Our framework incorporates the interactions between the network of banks (exhibiting contagion mechanisms among them …) and the network of firms (transmitting shocks to each other along the supply chain) which systems are linked together via … into a liquidity stress testing framework of the Central Bank of Hungary, and our results proved the importance of the real …

review is on studies that use network analysis paying special attention to those that apply complex analysis techniques …