Tail event driven networks of SIFIs
系统重要性金融机构的尾部事件驱动网络
The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three aspects. More precisely, our framework captures the risk propagation and dynamics in terms of a panel quantile autoregression involving network effects that are quantified through a time-varying adjacency matrix. To reflect the risk content…