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A. Cornaro

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Open access Aug 2026

A network analysis of systemic risk in the European banking sector

In this paper, we adopt a conditional tail risk network methodology for the assessment of transmission channels of risk. In particular, we employ weighted and directed networks to model the mutual influence between banks, with the weights being linked to tail risk measures. More specifically, in the empirical compa...

A. Cornaro, Edit Rroji, Ilaria Stefani · 0 citations

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