Systemic Contagion
统一了现有系统性风险度量指标，提出一个新颖的“系统性传染”概念，构建了检验统计量，并通过美国主要金融机构的数据构建前瞻性有向网络，实证度量系统性传染规模，能及时预警市场崩盘。
This article unifies existing systemic risk measures to present a novel intersecting notion of systemic contagion which captures institutional risk transmission amplified by a distressed financial system. The article constructs a test statistic for systemic contagion which demonstrates its systemic capacity in testing contagion under a series of numerical experiments. Using the new test the article constructs a forward-looking directed network to empirically measure the scale of systemic contagion between leading U.S. financial institutions. The proposed systemic contagion measure stands out as it provides timely warning signals of market crashes including that driven by the recent health-induced financial crisis.