We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …

in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the …We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high …-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a …

In a banking network model, the ranking consistency of various popular systemic risk measures (SRMs) is analyzed. In … with respect to bank and network characteristics can easily be checked. The employed network model accounts, among others … reducing effect of fire sales of other banks. Within the assumed banking network model, it can be shown that, in general, the …

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on … isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on … Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are …