analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical … relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk … drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between …

We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network … interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market … and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm's Value-at-risk …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal …

We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network … interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market … and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm's Value-at-risk …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal …