Systemic risk spillovers in the European banking and sovereign network

149 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks (2018, unknown): “As noted by Betz et al. (2016), it is tail-dependence that should be of the greatest interest for surveillance and regulatory purposes.”
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022, methodology): “First, our use of quantile regression to study extreme events closely resembles a branch of the systemic risk literature that is well-represented by Betz et al. (2016) and Caporin et al. (2018), both of which use quantile regression to study the propagation of adverse shocks through the financial…”
Systemic Risk and Bank Size (2018, unknown): “…has led to the development of models of interbank lending and contagion through networks (Poledna et al., 2015; Kanno, 2015; Hautsch et al., 2015; Betz et al., 2016).1 Danielsson et al. (2016) question the reliability of current systemic risk measures on the basis that they entail substantial…”