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TENET: Tail-Event driven NETwork risk

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Figure 3: Incoming links for four industry groups. Depositories: solid red line, Insurances: dashedblue line, Broker-Dealers: dotted green line, Others: dash-dot violet line
Figure 6: A circular network representation of a weighted adjacency matrix after the thresholding(the values smaller than average of first 100 largest partial derivatives are set to be 0s)
Figure 8: A circular network representation of an unweighted adjacency matrix (1 and 0 representationof this matrix) without thresholding
Table 4: Top 10 directional connectedness from one financial institution to another. The ranking iscalculated by the sum of absolute value of the partial derivatives, τ = 0.05, window size n = 48, T = 266.
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