How did problems with subprime mortgages result in a systemic crisis, a panic? The ongoing Panic of 2007 is due to a loss of information about the location and size of risks of loss due to default on
This paper suggests an alternative approach to measuring systemic risk in financial markets by examining the interconnectedness among heterogeneous investors. Utilizing variance decomposition and a tr
This is the publicly available dataset for the paper "Cascading failure and systemic risk: A perspective of tail risk network" submitted to the journal Entropy.
This study examines systemic risk spillover effects between China’s Shanghai Stock Exchange (SSE) and seven Asian emerging markets within the context of increasing global financial integration. Utiliz
