We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network context across banks by considering the marginal effects...

We propose an approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results we model systemic risk spillover effects across banks by considering the marginal effects of the quantile regression...

In the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter ? can be observed...

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network context across banks by considering the marginal effects...

In the present paper we study the dynamics of penalization parameter λ of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter λ can be...

It is a challenging task to understand the complex dependency structures in an ultra-high dimensional network, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile autoregres- sion model (NQAR) to characterize the dynamic quantile...