Belloni, Alexandre; Chen, Mingli; Chernozhukov, Victor - 2017 - This version December 4, 2017
the financial risk management literature. Importantly, the proposed framework is intended to be applied to non … is relevant in applications concerning with extreme events. We show that the associated tail risk network can be used for … measuring systemic risk contributions. We also apply the framework to study international financial contagion and the impact of …
