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 extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

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 …