We construct an empirical measure of expected network spillovers that arise through default cascades for the U … spillovers from 2002 to 2007 and from 2013 to 2016. However, between 2008 and 2012, we find that default spillovers can amplify …

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …

provides a way to quantify the evolvement of interdependencies in the global market, to evaluate a world financial network and … relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … maxima at times of global world events (2001: 9/11-attacks, 2003: Iraq war, SARS, etc). The Japanese market switches …

provides a transmission mechanism for financial shocks and potentially exposes insurers to contagion and systemic risk. In this … paper, connectivity within the U.S. property-casualty (P/C) reinsurance market is modeled as a network. We model the network … literature by providing a detailed examination of the reinsurance network structure, including network density, network …

This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …

We document the consequences of money market fund risk taking during the European sovereign debt crisis. Using a novel …

This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced …