Systemic importance of a financial institution is measured as the additional tail loss induced into the system when the financial institution falls into distress due to its own structural shocks. The use of a structural approach is a step towards addressing a key concern in systemic risk...

We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007/2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional...

Based on the daily data of 45 listed financial institutions from 2015 to 2022 in Chinese financial market, we construct higher-order temporal causal networks via the variable-lag Granger-causality test and higher-order temporal network model, and rank the systemic important financial...