Contemporaneous Transmission Networks and Systemic Risk in European Banking
In briefSimultaneous return spillover networks and systemic risk among European banks
SummaryThis paper examines how contemporaneous equity-return transmission shapes systemic exposure among 51 listed European banks. Using a recursive non-Gaussian network model on volatility-standardized returns, the authors build two market-capitalization-weighted measures: the Systemic Impact Score, capturing a bank's influence on others, and the Systemic Vulnerability Score, capturing its exposure to shocks from elsewhere. The study also assesses the reproducibility of these roles and the limits of identification.