Keilbar, Georg; Wang, Weining - In: Empirical Economics 62 (2021) 1, pp. 93-118
neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network … modelling systemic risk. We then propose three network-based measures from our fitted results. First, we use the Systemic … Network Risk Index (SNRI) as a measure for total systemic risk. A comparison to the existing network-based risk measures …