Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

We propose a new systemic risk index based on the interdependence of extreme downside movements stock returns using cross-quantilogram and network analysis approach. While quantile dependence allows for sensitivity in times market downturn, topological properties allow capturing interconnectedness banking system identification specific contribution each individual bank. Using this design, proposed is not only easy to calculate interpret but identifies system's significant transmitters receivers risk. For empirical evaluation index, we use sample 83 large banks during 2003–2020 period, spanning multiple recent crises affecting market. The found be robust comparison major alternative measures.