This article investigates the volatility connectedness of the Eurozone banking system over
the last 15 years (from 2005 to 2020). Applying the Diebold-Yilmaz Connectedness Index …

In this paper, we study systemic risk propagation by exploring the dynamic mechanism of
financial contagion among Eurozone countries. Using a multilayer information spillover …

This paper studies the extreme risk spillover between 183 Eurozone financial institutions
(such as banks, insurances, diversified financial, real estate firms) over the period 2005 …

Purpose This study aims to examine information (stock return, volatility and extreme risk)
spillovers and interconnectedness within dual-banking systems. Design/methodology …

In this thesis, we consider three non-trivial problems of risk allocation and apply approaches
from theoretical finance and risk management to address several policy debates from a …

This paper investigates the interplay between two types of banking risk: market and credit.
By verifying the volatility feedback loop hypothesis, we employ a multilayer information …

Systemic risk represents a critical challenge in modern financial systems characterized by
complex interconnections. This chapter comprehensively analyses systemic risk, exploring …

The paper addresses the topic of measuring the systemic risk and of identifying Systemically
Important Financial Institutions (SIFIs) with an agent-based multi-layer network simulation …

This paper introduces the relevance of systemic risk measurement in the financial system,
and the related issue of identifying systemically important financial institutions (SIFIs), in an …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across
institutions. We construct a model that can be estimated from high-frequency CDS data. This …