interdependence from joint extreme movements based on bivariate extreme value theory and classification analysis. Furthermore, we … propose a new ranking strategy regarding the influence of institutions based on the network effects and quantile regression …

This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and … shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and … network strategy formed on causal connections is uncorrelated with popular benchmarks and generates a significant alpha, while …

I study the problem of regulating a network of interdependent financial institutions that is prone to contagion when …-improving interventions. While improving network transparency potentially reduces this uncertainty, it does not always lead to welfare …) susceptibility of the network to contagion, (ii) the cost of improving network transparency, (iii) the cost of regulating …

I study the problem of regulating a network of interdependent financial institutions that is prone to contagion when …-improving interventions. While improving network transparency potentially reduces this uncertainty, it does not always lead to welfare …) susceptibility of the network to contagion, (ii) the cost of improving network transparency, (iii) the cost of regulating …