We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on … observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers …, (ii) investigating the role of portfolio composition in risk transfer, and (iii) computing target exposure structures able …

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 …