Measuring the systemic risk contribution (SRC) of country-level stock markets helps
understand the rise of extreme risks in the worldwide stock system to prevent potential …

Abstract [eng] This article presents an analysis of the literature on systemic risk
measurement methods. Only the recent global crisis has particularly attracted the attention of …

We explore global stock markets' connections during the financial crises or risks since 1995
with emphasis on the situation under COVID-19. We choose 40 countries/regions and take …

We propose a two-layered tree network model that decomposes financial contagion into a
global component, composed of inter-country contagion effects, and a local component …

This study examines the systemic risk caused by major events in the international energy
market (IEM) and proposes a management strategy to mitigate it. Using the tail-event driven …

This study aims to investigate the tail risk dependence of individual banks in Asian emerging
markets. Using value at risk and conditional value at risk to measure tail risk and employing …

The collapse of real estate prices has historically jeopardized banking stability and triggered
systemic banking crises. This paper studies risk contagion in a banking system in real estate …

The objective of this study is to analyze systemic importance of Chinese financial institutions
and its influential factors based on return spillover network. We first investigate the return …

We propose a novel credit risk measurement model for Corporate Default Swap (CDS)
spreads that combines vector autoregressive regression with correlation networks. We focus …

The assets under management of investment funds have soared in recent years, triggering a
debate on their possible implications for financial stability. We contribute to this debate …