In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Measuring interconnectedness in a banking system and identifying the transmission channels of systemic risk is a main issue for the analysis of financial stability. We develop a methodology based on conditional tail risk networks to assess the channels of transmission in a banking system, and to...

Network analysis is becoming a fundamental tool in the study of systemic risk and financial contagion in the banking sector. Still, the network structure must typically be estimated from noisy and aggregated data, as micro data on the status quo banking network structure are typically...