accounting for systemic risk. The optimal portfolio is solved through a three-step supervised learning model. Firstly, the Smooth …

We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock … markets from 2000 to 2021 in the USA, Europe, Brazil, and Japan. Our Implied Volatility Realized Volatility Systemic Risk … show that IVRVSRI is a precise measure of the current systemic risk in the stock markets. Moreover, IVRVSRI seems to be a …

While the 2008 financial crisis brought systemic risk to the forefront of risk management research, the COVID-19 …

-Pacific counterparts trailing closely and relative isolation from the African ones. Global systemic risk connectedness invigorates during … extraordinary and/or global events. The country- and regional-level analyses reveal an increase in systemic risk connectedness … connectedness of the African and Asia-Pacific markets is apparent. Modelling systemic risk on global (macroeconomic) factors implies …

Financial systemic risk can be characterized by coexceedances in asset prices in financial markets. This paper proposes … stocks to predict the systemic risk occurring in the lagging stocks, which is identified as the exceedance of a composite …, constructing an index to predict the possibility of systemic risk of lagging stocks based on the exceedances of leading stocks …

-up of systemic risk. This paper investigates the effectiveness of macroprudential policy in containing the systemic risk of … systemic risk, namely the Delta-CoVaR (∆CoVaR) methodology and a comprehensive database of enacted EU macroprudential policies … policies are not associated with reducing a bank's systemic risk contribution to the EU financial sector, which raises concerns …

This paper develops a systemic risk index for China (SRIC) using textual information from 26 leading newspapers in … sources of systemic risk. We examine the predictability of SRIC for China’s macroeconomic variables. The results show that … policymakers to manage systemic risk …