Systemic risk spillovers in the European banking and sovereign network

We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk contributions. For the purposes of surveillance and regulation of financial systems, network dependencies in extreme risks are more relevant than simple (mean) correlations. Thus, the framework provides a tool for supervisors, reflecting the market’s view of tail dependences and systemic risk contributions. The model is applied to a system of 51 large European banks and 17 sovereigns during the period from 2006 through 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the fragmentation of the European financial system has peaked

Systemic Risk Spillovers in the European Banking and Sovereign Network *

Abstract We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixedeffects quantile approach, which explicitly links time-varying interconnectedness to 1 systemic risk contributions. For the purposes of surveillance and regulation of financial systems, network dependencies in extreme risks are much more relevant than simple (mean) correlations. Thus, the framework provides a tool for supervisors, reflecting market's view of tail dependences and systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns in 2006-13, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how it is reflected in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the fragmentation of the European financial system has peaked

Исследование параметров механоэлектрических преобразований в железобетоне в процессе изгиба

В работе представлено исследование параметров механоэлектрических преобразований в железобетоне с ростом дефектности в его структуре. Рассмотрены такие параметры, как изменение коэффициента затухания энергии сигнала электрического отклика на импульсное ударное воздействие, смещение центра тяжести спектра сигнала электрического отклика и изменение максимального коэффициента взаимной корреляции спектра сигнала электрического отклика в процессе изгиба железобетона. Результатом работы является выявление основных зависимостей для данных параметров от дефектности структуры исследуемого материала.The paper presents an investigation of the parameters of mechanoelectric transformations in reinforced concrete with increasing defectiveness in its structure. The change in the energy attenuation coefficient of the electrical response signal to the impulse shock, the shift of the center of gravity of the electrical signal response spectrum, and the change in the maximum cross-correlation coefficient of the electrical response signal spectrum during the bending of the reinforced concrete are considered. The result of the work is the identification of the main dependencies for these parameters on the defectiveness of the structure of the material being studied

Systemic risk spillovers in the European banking and sovereign network : [Version September 10, 2014]

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating the usefulness of the framework as a monitoring tool, we provide indication for the fragmentation of the European financial system having peaked and that recovery has started