Asgharian, Hossein; Krygier, Dominika; Vilhelmsson, Anders - 2019
We suggest that banks contribute extensively to systemic risk only if they are both "risky" and centrally placed in the … financial network. To calculate systemic risk we apply the CoVaR measure of Adrian and Brunnermeier (2016) and measure … important determinant of systemic risk but primarily not by its direct effect. Rather, its main influence is to make other firm …