IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v99y2025ics1059056025001558.html
   My bibliography  Save this article

Research on sovereign credit and international banking industry tail risk contagion ----Perspective from double-layer complex network

Author

Listed:
  • Xiao-Li, Gong
  • Zhuo-Cheng, Wu
  • Xiong, Xiong
  • Wei, Zhang

Abstract

Since the European debt crisis, the international banking industry and sovereign debt markets have experienced frequent crises. In particular, the dynamic complexity of the cross-contagion between tail risks in the international banking industry and sovereign credit risks has intensified under the influence of extreme events. To clarify the cross-contagion patterns between sovereign risks and banking risks, this paper constructs a complex network analysis framework for sovereign credit-international banking industry risk connectedness based on complex network methods. Primarily, the paper explores the tail risk contagion between the international banking industry and sovereign credit risks by calculating the risk contagion matrix for the entire period. Then, the double-layer risk spillover complex network is constructed, and the roles played by each country in the risk transmission network are analyzed from the perspective of network topological indicators. In particular, the paper analyzes the impact of international extreme events on the double-layer risk spillover network. Ultimately, the paper discusses the impact of double-layer network connectedness on sovereign credit risk. The research finds that the tail risk transmission between international sovereign credit risk and the banking industry is bi-directional. And the transmission direction is mainly from the sovereign credit layer to the banking industry layer from the perspective of the entire period. The cross-layer transmission characteristics of cross-contagion risks are inconsistent at different stages, and the roles played by countries in the network are significantly different. In addition, tail events have a strong impact on the cross-contagion of risks. The research conclusions provide ideas for the international community to deal with the cross-contagion of banking industry-sovereign credit risks.

Suggested Citation

  • Xiao-Li, Gong & Zhuo-Cheng, Wu & Xiong, Xiong & Wei, Zhang, 2025. "Research on sovereign credit and international banking industry tail risk contagion ----Perspective from double-layer complex network," International Review of Economics & Finance, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001558
    DOI: 10.1016/j.iref.2025.103992
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059056025001558
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2025.103992?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Patrick Bolton & Olivier Jeanne, 2011. "Sovereign Default Risk and Bank Fragility in Financially Integrated Economies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(2), pages 162-194, June.
    2. Poledna, Sebastian & Molina-Borboa, José Luis & Martínez-Jaramillo, Serafín & van der Leij, Marco & Thurner, Stefan, 2015. "The multi-layer network nature of systemic risk and its implications for the costs of financial crises," Journal of Financial Stability, Elsevier, vol. 20(C), pages 70-81.
    3. Carlos Eduardo Le�n Rinc�n & Jhonatan P�rez Villalobos, 2013. "Authority Centrality and Hub Centrality as metrics of systemic importance of financial market infrastructures," Borradores de Economia 10460, Banco de la Republica.
    4. Marcel Fratzscher & Malte Rieth, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Review of Finance, European Finance Association, vol. 23(4), pages 745-775.
    5. Antonio Cabrales & Piero Gottardi & Fernando Vega-Redondo, 2017. "Risk Sharing and Contagion in Networks," The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3086-3127.
    6. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    7. Magkonis, Georgios & Tsopanakis, Andreas, 2016. "The financial and fiscal stress interconnectedness: The case of G5 economies," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 62-69.
    8. Abduraimova, Kumushoy, 2022. "Contagion and tail risk in complex financial networks," Journal of Banking & Finance, Elsevier, vol. 143(C).
    9. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
    10. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    11. Franklin Allen & Douglas Gale, 2000. "Financial Contagion," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 1-33, February.
    12. Bianca De Paoli & Glenn Hoggarth & Victoria Saporta, 2009. "Output costs of sovereign crises: some empirical estimates," Bank of England working papers 362, Bank of England.
    13. Zhang-Hangjian Chen & Xiang Gao & Apicha Insuwan, 2023. "Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
    14. Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
    15. Mr. Fabian Valencia & Mr. Luc Laeven, 2008. "Systemic Banking Crises: A New Database," IMF Working Papers 2008/224, International Monetary Fund.
    16. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.
    17. Russell Cooper & Kalin Nikolov, 2018. "Government Debt And Banking Fragility: The Spreading Of Strategic Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(4), pages 1905-1925, November.
    18. Arif, Muhammad & Hasan, Mudassar & Alawi, Suha M. & Naeem, Muhammad Abubakr, 2021. "COVID-19 and time-frequency connectedness between green and conventional financial markets," Global Finance Journal, Elsevier, vol. 49(C).
    19. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
    20. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "The Forgotten History of Domestic Debt," Economic Journal, Royal Economic Society, vol. 121(552), pages 319-350, May.
    21. Nicola Gennaioli & Alberto Martin & Stefano Rossi, 2014. "Sovereign Default, Domestic Banks, and Financial Institutions," Journal of Finance, American Finance Association, vol. 69(2), pages 819-866, April.
    22. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2016. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 209-220.
    23. Kris James Mitchener & Christoph Trebesch, 2021. "Sovereign Debt in the 21st Century," NBER Working Papers 28598, National Bureau of Economic Research, Inc.
    24. Umar, Muhammad & Farid, Saqib & Naeem, Muhammad Abubakr, 2022. "Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis," Energy, Elsevier, vol. 240(C).
    25. Beirne, John & Fratzscher, Marcel, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
    26. Rasa Kanapickienė & Greta Keliuotytė-Staniulėnienė & Deimantė Teresienė & Renatas Špicas & Airidas Neifaltas, 2022. "Macroeconomic Determinants of Credit Risk: Evidence on the Impact on Consumer Credit in Central and Eastern European Countries," Sustainability, MDPI, vol. 14(20), pages 1-62, October.
    27. Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017. "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 258-279.
    28. Eijffinger, Sylvester C.W. & Karataş, Bilge, 2023. "Three sisters: The interlinkage between sovereign debt, currency, and banking crises," Journal of International Money and Finance, Elsevier, vol. 131(C).
    29. Carlos Eduardo Le�n Rinc�n & Jhonatan P�rez Villalobos, 2013. "Authority Centrality and Hub Centrality as metrics of systemic importance of financial market infrastructures," Borradores de Economia 10460, Banco de la Republica.
    30. Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
    31. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    32. Pablo Agnese & Jana Hromcová, 2018. "Bubble economics and structural change: the cases of Spain and France compared," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 21(1), pages 59-79, January.
    33. Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2013. "What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 37-59.
    34. Irina Balteanu & Aitor Erce, 2018. "Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(4), pages 617-664, December.
    35. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
    36. Eyssell, Thomas & Fung, Hung-Gay & Zhang, Gaiyan, 2013. "Determinants and price discovery of China sovereign credit default swaps," China Economic Review, Elsevier, vol. 24(C), pages 1-15.
    37. Bertrand Candelon & Franz Palm, 2010. "Banking and Debt Crises in Europe: The Dangerous Liaisons?," De Economist, Springer, vol. 158(1), pages 81-99, April.
    38. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
    39. Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
    40. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
    41. Bostanci, Gorkem & Yilmaz, Kamil, 2020. "How connected is the global sovereign credit risk network?," Journal of Banking & Finance, Elsevier, vol. 113(C).
    42. Sosa-Padilla, César, 2018. "Sovereign defaults and banking crises," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 88-105.
    43. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.
    44. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost,Tomáš, 2020. "From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks," EconStor Preprints 218944, ZBW - Leibniz Information Centre for Economics.
    45. Daly, Kevin & Batten, Jonathan A. & Mishra, Anil V. & Choudhury, Tonmoy, 2019. "Contagion risk in global banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    46. Capponi, Agostino & Corell, Felix & Stiglitz, Joseph E., 2022. "Optimal bailouts and the doom loop with a financial network," Journal of Monetary Economics, Elsevier, vol. 128(C), pages 35-50.
    47. Wang, Gang-Jin & Si, Hui-Bin & Chen, Yang-Yang & Xie, Chi & Chevallier, Julien, 2021. "Time domain and frequency domain Granger causality networks: Application to China’s financial institutions," Finance Research Letters, Elsevier, vol. 39(C).
    48. Ouyang, Zisheng & Zhou, Xuewei & Lai, Yongzeng, 2023. "Global stock markets risk contagion: Evidence from multilayer connectedness networks in the frequency domain," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    49. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    50. Jozef Baruník & Tomáš Křehlík, 2018. "Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 271-296.
    51. Bertrand Candelon & Franz Palm, 2010. "Banking and Debt Crises in Europe: The Dangerous Liaisons?," De Economist, Springer, vol. 158(1), pages 81-99, April.
    52. Daron Acemoglu & Vasco M. Carvalho & Asuman Ozdaglar & Alireza Tahbaz‐Salehi, 2012. "The Network Origins of Aggregate Fluctuations," Econometrica, Econometric Society, vol. 80(5), pages 1977-2016, September.
    53. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    54. Pablo Agnese & Jana Hromcová, 2018. "Bubble economics and structural change: the cases of Spain and France compared," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 21(1), pages 59-79, January.
    55. Darrell Duffie & Lasse Heje Pedersen & Kenneth J. Singleton, 2003. "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," Journal of Finance, American Finance Association, vol. 58(1), pages 119-159, February.
    56. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    57. Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
    58. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
    59. Girardi, Giulio & Tolga Ergün, A., 2013. "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3169-3180.
    60. Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February.
    61. Andrew G. Haldane & Robert M. May, 2011. "Systemic risk in banking ecosystems," Nature, Nature, vol. 469(7330), pages 351-355, January.
    62. Rizwan, Muhammad Suhail & Ahmad, Ghufran & Ashraf, Dawood, 2020. "Systemic risk: The impact of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    63. González-Velasco, Carmen & García-López, Marcos & González-Fernández, Marcos, 2022. "Does sovereign risk impact banking risk in the Eurozone? Evidence from the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 47(PA).
    64. Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
    65. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    66. Mitchener, Kris & Trebesch, Christoph, 2021. "Sovereign Debt in the 21st Century: Looking Backward, Looking Forward," CEPR Discussion Papers 15935, C.E.P.R. Discussion Papers.
    67. Nguyen, Phuc Lam Thy & Alsakka, Rasha & Mantovan, Noemi, 2023. "The impact of sovereign credit ratings on voters’ preferences," Journal of Banking & Finance, Elsevier, vol. 154(C).
    68. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    69. Arnold, Ivo J.M., 2012. "Sovereign debt exposures and banking risks in the current EU financial crisis," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 906-920.
    70. Marcin Kacperczyk & Philipp Schnabl, 2013. "How Safe Are Money Market Funds?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 128(3), pages 1073-1122.
    71. Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhu, Huiming, 2022. "Multiscale features of extreme risk spillover networks among global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    72. Ang, Andrew & Longstaff, Francis A., 2013. "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
    73. He, Chengying & Wen, Zhang & Huang, Ke & Ji, Xiaoqin, 2022. "Sudden shock and stock market network structure characteristics: A comparison of past crisis events," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    74. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
    75. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    76. Gong, Xiao-Li & Feng, Yong-Kang & Liu, Jian-Min & Xiong, Xiong, 2023. "Study on international energy market and geopolitical risk contagion based on complex network," Resources Policy, Elsevier, vol. 82(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhu, Huiming, 2022. "Multiscale features of extreme risk spillover networks among global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
    3. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
    4. Liu, Jiahao & Zhu, Bo & Hu, Xin, 2024. "Systemic risk spillovers among global energy firms: Does geopolitical risk matter?," Energy Economics, Elsevier, vol. 140(C).
    5. Zhizhen Chen & Guifen Shi & Boyang Sun, 2024. "Cross-border spillovers in G20 sovereign CDS markets: cluster analysis based on K-means machine learning algorithm and TVP–VAR models," Empirical Economics, Springer, vol. 67(6), pages 2463-2502, December.
    6. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    7. Bostanci, Gorkem & Yilmaz, Kamil, 2020. "How connected is the global sovereign credit risk network?," Journal of Banking & Finance, Elsevier, vol. 113(C).
    8. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    9. Xiang, Youtao & Borjigin, Sumuya, 2024. "Multilayer networks for measuring interconnectedness among global stock markets through the lens of trading volume-price relationship," Global Finance Journal, Elsevier, vol. 62(C).
    10. Yu, Sherry, 2017. "Sovereign and bank Interdependencies—Evidence from the CDS market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 68-84.
    11. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
    12. Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang, 2019. "Financial sector bailouts, sovereign bailouts, and the transfer of credit risk," Journal of Financial Markets, Elsevier, vol. 42(C), pages 121-142.
    13. Ren, Yi-Shuai & Klein, Tony & Jiang, Yong, 2025. "Unveiling the asymmetric dynamic spillovers in industry bond credit risk: Is the energy industry the prime mover?," International Review of Financial Analysis, Elsevier, vol. 101(C).
    14. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    15. Liu, Peipei & Huang, Wei-Qiang, 2024. "Spatial analysis of sovereign risk from the perspective of EPU spillovers," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 427-443.
    16. Ozcan Ceylan, 2023. "Analysis of Dynamic Connectedness among Sovereign CDS Premia," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 33-47, June.
    17. Mardi Dungey & Thomas Flavin & Lisa Sheenan, 2025. "Banks and sovereigns: did adversity bring them closer?," The European Journal of Finance, Taylor & Francis Journals, vol. 31(9), pages 1089-1114, June.
    18. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    19. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
    20. Chen, Yan & Mo, Dongxu & Xu, Zezhou, 2022. "A study of interconnections and contagion among Chinese financial institutions using a ΔCoV aR network," Finance Research Letters, Elsevier, vol. 45(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001558. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.