AUTHOR=Tan Keqi , Chen Yu , Liao Yujie TITLE=Network Analysis of SIFIs Based on Tail Systemic Linkage JOURNAL=Frontiers in Physics VOLUME=10 YEAR=2022 URL=https://www.frontiersin.org/journals/physics/articles/10.3389/fphy.2022.897721 DOI=10.3389/fphy.2022.897721 ISSN=2296-424X ABSTRACT=

This article applies several distinct methods including the systemic linkage method and network analysis to address intranational systemic risk interdependencies. Specifically, we initially quantify dynamic systemic linkages among US and Chinese systemically important financial institutions through time-varying adjacency matrices related to an extreme value theory (EVT) approach and then visualize them using network analysis. Numerical and graphical results show that intranational systemic linkages are obviously enhancive under extreme scenarios such as large negative shocks in the financial system. In addition, we apply a tail event-driven network quantile regression (TENQR) model to address the interdependence and dynamics of the entire network. The estimation results show that the network factors respond more strongly when the market suffers extreme stress.