14–18 Sept 2025
University of Piraeus
Europe/Athens timezone

Interconnectedness in the Tails: Evidence of Risk Contagion in European Electricity Markets

17 Sept 2025, 14:40
20m
Measurement Uncertainty Measurement Uncertainty

Speaker

Antonio Panico (University of Parma)

Description

This study explores the use of the Network Density Index and the Extreme Downside Correlation(EDC) matrix to detect systemic stress periods and identify inter-country vulnerability clusters in the European electricity market. The analysis reveals a critical stress phase in mid-2022 and shows how extreme event interconnections reflect infrastructure constraints and regional dependencies. These findings suggest practical applications for early warning systems, stress testing, and cross-border risk management strategies, with implications for regulators and transmission system operators.

Primary author

Antonio Panico (University of Parma)

Presentation materials

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