financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three …) autoregression involving network effects quantified through an adjacency matrix. To reflect the nature and risk content of systemic … thus provides measures for the required level of additional loss absorbency. It is discovered that the network effect, as a …

We build a commercial credit network, identify the most central economic sectors in terms of commercial debt, and …," "manufacturing," and "transportation, storage, and communication" are the most central sectors in the commercial credit network. In a …

This paper studies strategic savings and free-riding behaviours among ex- ante vulnerable firms in a fixed debt network …

We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a …

interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The … are reflected in a consistent way in the market value of banks' mutual liabilities through the network of obligations. We … countries because of their size and position in the financial network. Finally, we provide policy insights into the potential …

and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the … approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes …

network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks …. We assess our current understanding of the structure of interbank networks, of how network characteristics affect … before general results on the link between the structure of the interbank network and financial stability can be established …

network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks … and assesses our current understanding of the structure of interbank networks, of how network characteristics affect … before general results on the link between the structure of the interbank network and financial stability can be established …