Financial Network Systemic Risk Contributions
From MaRDI portal
Publication:4554731
DOI10.1093/rof/rfu010zbMath1417.91560OpenAlexW3123999895MaRDI QIDQ4554731
Melanie Schienle, Julia Schaumburg, Nikolaus Hautsch
Publication date: 9 November 2018
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/rof/rfu010
Statistical methods; risk measures (91G70) Small world graphs, complex networks (graph-theoretic aspects) (05C82)
Related Items (26)
Lasso-driven inference in time and space ⋮ TENET: tail-event driven network risk ⋮ Systemic risk in the European sovereign and banking system ⋮ Extreme risk spillover network: application to financial institutions ⋮ Can bank-specific variables predict contagion effects? ⋮ Sovereign risk in the Euro area: a multivariate stochastic process approach ⋮ Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ High-dimensional VARs with common factors ⋮ On the network topology of variance decompositions: measuring the connectedness of financial firms ⋮ Detecting granular time series in large panels ⋮ Measuring network systemic risk contributions: a leave-one-out approach ⋮ Tail event driven networks of SIFIs ⋮ Portal nodes screening for large scale social networks ⋮ Modeling systemic risk with Markov switching graphical SUR models ⋮ Feature Screening for Network Autoregression Model ⋮ Identification of information networks in stock markets ⋮ Power-law partial correlation network models ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ Econometric modeling of risk measures: a selective review of the recent literature ⋮ Bayesian nonparametric sparse VAR models ⋮ Network quantile autoregression ⋮ Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading ⋮ Graph theoretical representations of equity indices and their centrality measures ⋮ Multilayer information spillover networks: measuring interconnectedness of financial institutions ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
This page was built for publication: Financial Network Systemic Risk Contributions
