Networks represent a useful tool to describe relationships among financial firms and network analysis has been extensively used in recent years to study financial connectedness. An aspect, which is of
For monitoring systemic risk from regulators’ point of view, this article proposes a relative risk measure, which is sensitive to the market comovement. The asymptotic normality of a nonparametric est
Replication package for: Grigoris, F., Hu, Y. and Segal, G. Counterparty Risk: Implications for Network Linkages and Asset Prices, Review of Financial Studies, forthcoming (DOI: 10.1093/rfs/hhac044).
This is the publicly available dataset for the paper "Cascading failure and systemic risk: A perspective of tail risk network" submitted to the journal Entropy.