Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/249340 
Year of Publication: 
2022
Citation: 
[Journal:] Economic Modelling [ISSN:] 0264-9993 [Article No.:] 105775 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2022
Publisher: 
Elsevier, Amsterdam
Abstract: 
We propose a new systemic risk index based on the interdependence of extreme downside movements of stock returns using the cross-quantilogram and network analysis approach. While quantile dependence allows for sensitivity in times of market downturn, the topological network properties allow for capturing the interconnectedness of the banking system and identification of the specific contribution of each individual bank. Using this design, the proposed systemic risk index is not only easy to calculate and interpret but identifies the banking system's significant transmitters and receivers of extreme downside risk. For the empirical evaluation of the proposed risk index, we use a sample of 83 large banks during the 2003-2020 period, spanning multiple recent crises affecting the banking market. The proposed index is found to be robust in comparison to major alternative systemic risk measures.
Subjects: 
Systemic risk
Downturn interdependence
Network
Cross-quantilograms
Global banks
COVID-19 pandemic
JEL: 
G01
G21
Persistent Identifier of the first edition: 
Document Type: 
Article
Document Version: 
Manuscript Version (Preprint)
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