Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach
使用因子模型和弹性净收缩方法构建欧洲信用违约互换（CDS）的高维网络，分析银行和主权风险如何传导至非金融企业部门，发现金融中介处于网络中心，非金融实体和主权围绕其分布，且风险传导存在国家差异。
Summary We use a factor model and elastic net shrinkage to model a high‐dimensional network of European credit default swap (CDS) spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the nonfinancial corporate sector. Our findings identify a sectoral clustering in the CDS network, where financial institutions are in the center and nonfinancial entities as well as sovereigns are grouped around the financial center. The network has a geographical component reflected in different patterns of real‐sector risk transmission across countries. Our framework also provides dynamic estimates of risk transmission, a useful tool for systemic risk monitoring.