Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G-SILs v.s. Non G-SILs

2017 ◽  
Author(s):  
Hua Chen ◽  
Tao Sun
Keyword(s):  
Systemic Risk ◽  
Empirical Examination ◽  
Tail Risk ◽  
Risk Networks

Dynamic Systemic Risk: Networks in Data Science

2019 ◽  
Vol 1 (1) ◽  
pp. 141-158
Author(s):  
Sanjiv R. Das ◽  
Seoyoung Kim ◽  
Daniel N. Ostrov
Keyword(s):  
Systemic Risk ◽  
Data Science ◽  
Risk Networks

Tail risk and systemic risk of finance and technology (FinTech) firms

2022 ◽  
Vol 174 ◽  
pp. 121191
Author(s):  
Sajid M. Chaudhry ◽  
Rizwan Ahmed ◽  
Toan Luu Duc Huynh ◽  
Chonlakan Benjasak
Keyword(s):  
Systemic Risk ◽  
Tail Risk

scholarly journals Banks’ Noninterest Income and Systemic Risk

2020 ◽  
Author(s):  
Markus K Brunnermeier ◽  
Gang Nathan Dong ◽  
Darius Palia
Keyword(s):  
Economic Impact ◽  
Systemic Risk ◽  
Tail Risk ◽  
Interest Income ◽  
Editorial Decision ◽  
Three Components

Abstract This paper finds noninterest income is positively correlated with the total systemic risk for U.S. banks. Decomposing total systemic risk into three components, we find that noninterest income is positively related to a bank’s tail risk, positively related to a bank’s interconnectedness risk, and an insignificantly related to a bank’s exposure to macroeconomic and finance factors. We also find that noninterest income is more volatile and negatively related to interest income. Finally, we find trading and other noninterest income to be positively correlated with systemic risk. Other noninterest income, compared with trading income, has a slightly larger economic impact. (JEL G01, G18, G20, G21, G32, G38) Received October 31, 2019; editorial decision February 3, 2020 by Editor Andrew Ellul.

scholarly journals Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

2020 ◽  
Vol 54 ◽  
pp. 101248 ◽  
Author(s):  
Weiping Zhang ◽  
Xintian Zhuang ◽  
Jian Wang ◽  
Yang Lu
Keyword(s):  
Systemic Risk ◽  
Tail Risk

scholarly journals Measuring the propagation of financial distress with Granger-causality tail risk networks

2018 ◽  
Vol 38 ◽  
pp. 18-36 ◽  
Author(s):  
Fulvio Corsi ◽  
Fabrizio Lillo ◽  
Davide Pirino ◽  
Luca Trapin
Keyword(s):  
Granger Causality ◽  
Financial Distress ◽  
Tail Risk ◽  
Risk Networks

Dynamic Systemic Risk Networks: A Note

2017 ◽  
Author(s):  
Sanjiv Ranjan Das ◽  
Seoyoung Kim ◽  
Daniel N Ostrov
Keyword(s):  
Systemic Risk ◽  
Risk Networks
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