In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...

I propose a method identification of structural vector autoregressions (SVARs) and simultaneous equations models (SEMs) with orthogonal structural shocks using testable identification restrictions. If some sparsity conditions are satisfied, the method produces a set of testable inclusions and...