arXiv q-fin· Minh Duc Duong, Alessio Moneta, Fabrizio Lillo, Caterina Giannetti, Tu Anh Doan Nguyen·· 6 hr agoAI Score47
Simultaneous Transmission Networks and Systemic Risk in European Banking
Contemporaneous Transmission Networks and Systemic Risk in European Banking
AI summary
A study of 51 listed European banks using a recursive non-Gaussian network model based on volatility-standardized returns to construct two market-capitalization-weighted indicators: Systemic Impact Score (SIS) and Systemic Vulnerability Score (SVS), measuring respectively a bank's potential influence on other institutions and its own exposure to external shocks.
Source:arXiv q-fin · arxiv.org