A system of risk factors necessarily involves systemic risk. The analysis of systemic risk is in the focus of recent …-Tail Event driven NETwork technique allows us to rank the systemic risk contributions of publicly traded U.S. financial …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

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 …

In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter … quantile lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The … derived "Risk Analytics" can help to forecast and evaluate the systemic risk for the corresponding markets. The visualization …

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 as well as balance sheet information, we define the realized systemic risk beta as the total time …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

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 …

systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal … impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company’s position … general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk …

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 …