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Risk Contagion under Extremes: Interplay of Tail Heaviness and Dependence
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Extremes for a general contagion risk measure
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Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?
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Analysis of banks’ systemic risk contribution and contagion determinants through the leave-one-out approach
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Contagion and tail risk in complex financial networks
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On the network topology of variance decompositions: Measuring the connectedness of financial firms
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Tail dependence measure for examining financial extreme co-movements
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Tail event driven networks of SIFIs
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Systemic risk, financial contagion and financial fragility
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Econometric measures of connectedness and systemic risk in the finance and insurance sectors
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Systemic risk and the macroeconomy: An empirical evaluation
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High frequency trading and extreme price movements
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Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis
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Risk contagion under regular variation and asymptotic tail independence
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GARCH models, tail indexes and error distributions: An empirical investigation
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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Limiting forms of the frequency distribution of the largest or smallest member of a sample
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Empirical modelling of contagion: a review of methodologies
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Statistics for near independence in multivariate extreme values
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A New Approach to Measuring Financial Contagion
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Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
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Non‐parametric Estimation of Tail Dependence
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Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
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Estimation of the marginal expected shortfall under asymptotic independence
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Power Laws in Economics and Finance
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Infinite-mean models and the LDA for operational risk
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Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
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A new representation for multivariate tail probabilities
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Bivariate tail estimation: dependence in asymptotic independence
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A Global Perspective on Extreme Currency Linkages
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