Research on simultaneous return transmission network and systemic risk in European banks released
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Minh Duc Duong and co-authors released a study on contemporaneous transmission networks and systemic risk in European banking, analyzing 51 listed European banks based on volatility-standardized returns using a recursive non-Gaussian network model. The study constructs two market-capitalization-weighted indicators: the 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.
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- arXiv q-finSimultaneous Transmission Networks and Systemic Risk in European Banking
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.
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