-->PONE-D-25-35082-->-->Dynamic Financial Tail Risk Networks: A Backtesting-based Conditional Expected Shortfall Approach-->-->PLOS ONE

Dear Dr. Shen,

Thank you for submitting your manuscript to PLOS ONE. After careful consideration, we feel that it has merit but does not fully meet PLOS ONE’s publication criteria as it currently stands. Therefore, we invite you to submit a revised version of the manuscript that addresses the points raised during the review process.

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We look forward to receiving your revised manuscript.

Kind regards,

Roy Cerqueti, Ph.D.

Academic Editor

PLOS ONE

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Reviewers' comments:

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-->Comments to the Author

1. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented. -->

Reviewer #1: Yes

Reviewer #2: Yes

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-->2. Has the statistical analysis been performed appropriately and rigorously? -->

Reviewer #1: Yes

Reviewer #2: Yes

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-->3. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.-->

Reviewer #1: Yes

Reviewer #2: Yes

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-->4. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.-->

Reviewer #1: Yes

Reviewer #2: Yes

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-->5. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)-->

Reviewer #1: Please see the attached PDF file for my complete review.

This manuscript presents an innovative Factor Copula-CoES approach for constructing dynamic tail risk networks in high-dimensional financial systems. While the paper makes potentially important methodological contributions and provides interesting empirical insights into China’s financial system, substantial revisions are required before publication.

The key issues requiring attention include: (1) insufficient justification and robustness testing of methodological choices, particularly the network threshold selection; (2) unclear mathematical exposition that lacks economic intuition; (3) inadequate integration between network analysis and regression results; (4) missing robustness checks and benchmark comparisons; and (5) poor visualization that hampers interpretation of results.

My detailed review in the attached PDF provides specific requirements for each identified issue, along with constructive suggestions for improvement. The core contribution appears sound, but the execution needs significant enhancement to meet publication standards.

Recommendation: Major Revisions Required

The authors should particularly focus on adding comprehensive robustness checks, improving mathematical clarity, and better integrating the different analytical components. I look forward to reviewing a substantially revised version that addresses these concerns.

Reviewer #2: This paper develops a Factor-Copula methodology for constructing high-dimensional dynamic tail risk networks based on the conditional expected shortfall (CoES) to overcome the limitations of traditional quantile regression and copula models. The authors backtest the CoES based on cumulative joint violations and conditional coverage tests. The dynamic analysis indicates that the network topology characteristics align with real market fluctuations, while quantitative analyses show different effects of institutional and market factors on network-measured risk spillovers and contagion among Chinese financial institutions.

This is an interesting paper, and my comments for further improvement can be found in the attached file.

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Reviewer #1: No

Reviewer #2: No

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Attachments

Attachment

Submitted filename: Review.pdf

Attachment

Submitted filename: Referee_Report_PONE-D-25-35082.pdf

-->PONE-D-25-35082R1-->-->Dynamic Financial Tail Risk Networks: A Backtesting-based Conditional Expected Shortfall Approach-->-->PLOS One

Dear Dr. Shen,

Thank you for submitting your manuscript to PLOS ONE. After careful consideration, we feel that it has merit but does not fully meet PLOS ONE’s publication criteria as it currently stands. Therefore, we invite you to submit a revised version of the manuscript that addresses the points raised during the review process.

Please submit your revised manuscript by May 22 2026 11:59PM. If you will need more time than this to complete your revisions, please reply to this message or contact the journal office at plosone@plos.org. When you're ready to submit your revision, log on to https://www.editorialmanager.com/pone/ and select the ’submissions Needing Revision' folder to locate your manuscript file.

Please include the following items when submitting your revised manuscript:-->

• A letter that responds to each point raised by the academic editor and reviewer(s). You should upload this letter as a separate file labeled 'Response to Reviewers'.
• A marked-up copy of your manuscript that highlights changes made to the original version. You should upload this as a separate file labeled 'Revised Manuscript with Track Changes'.
• An unmarked version of your revised paper without tracked changes. You should upload this as a separate file labeled 'Manuscript'.

If you would like to make changes to your financial disclosure, please include your updated statement in your cover letter. Guidelines for resubmitting your figure files are available below the reviewer comments at the end of this letter.

If applicable, we recommend that you deposit your laboratory protocols in protocols.io to enhance the reproducibility of your results. Protocols.io assigns your protocol its own identifier (DOI) so that it can be cited independently in the future. For instructions see: https://journals.plos.org/plosone/s/submission-guidelines#loc-laboratory-protocols. Additionally, PLOS ONE offers an option for publishing peer-reviewed Lab Protocol articles, which describe protocols hosted on protocols.io. Read more information on sharing protocols at https://plos.org/protocols?utm_medium=editorial-email&utm_source=authorletters&utm_campaign=protocols.

As the corresponding author, your ORCID iD is verified in the submission system and will appear in the published article. PLOS supports the use of ORCID, and we encourage all coauthors to register for an ORCID iD and use it as well. Please encourage your coauthors to verify their ORCID iD within the submission system before final acceptance, as unverified ORCID iDs will not appear in the published article. Only  the individual author can complete the verification step; PLOS staff cannot  verify ORCID iDs on behalf of authors.

We look forward to receiving your revised manuscript.

Kind regards,

Roy Cerqueti, Ph.D.

Academic Editor

PLOS One

Journal Requirements:

If the reviewer comments include a recommendation to cite specific previously published works, please review and evaluate these publications to determine whether they are relevant and should be cited. There is no requirement to cite these works unless the editor has indicated otherwise.

Additional Editor Comments :

Please, reply carefully to all the comments of the reviewers.

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Reviewers' comments:

Reviewer’s Responses to Questions

-->Comments to the Author

1. If the authors have adequately addressed your comments raised in a previous round of review and you feel that this manuscript is now acceptable for publication, you may indicate that here to bypass the “Comments to the Author” section, enter your conflict of interest statement in the “Confidential to Editor” section, and submit your "Accept" recommendation.-->

Reviewer #1: (No Response)

Reviewer #2: All comments have been addressed

Reviewer #3: (No Response)

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-->2. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented. -->

Reviewer #1: No

Reviewer #2: Partly

Reviewer #3: Partly

**********

-->3. Has the statistical analysis been performed appropriately and rigorously? -->

Reviewer #1: No

Reviewer #2: Yes

Reviewer #3: Yes

**********

-->4. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.-->

Reviewer #1: No

Reviewer #2: Yes

Reviewer #3: Yes

**********

-->5. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.-->

Reviewer #1: No

Reviewer #2: Yes

Reviewer #3: Yes

**********

-->6. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)-->

Reviewer #1: While the revision shows marginal improvements in exposition, it fails to address fundamental methodological concerns and introduces additional critical issues. The paper’s core contributions are undermined by: (1) regulatory irrelevance due to weekly frequency when daily measures are required, (2) invalid backtesting methodology using in-sample evaluation that cannot support superiority claims, (3) questionable high-dimensional claims given the data structure, and (4) unfair benchmarking against bivariate alternatives. These deficiencies are sufficiently serious that I recommend rejection.

Reviewer #2: I would like to thank the author(s) for improving their paper significantly.

Reviewer #3: Thank you for the revised version of your manuscript. The paper has improved, and I appreciate the effort made in addressing the comments from the previous review round. The structure is now clearer, and the methodological and empirical components are presented in a more coherent way.

I have a few suggestions that could further strengthen clarity and interpretation.

The backtesting framework would benefit from a more intuitive explanation. In particular, I suggest adding a short paragraph outlining the intuition behind the cumulative joint violation process and clarifying how it differs in practice from existing ES/CoVaR backtesting approaches. This would make the contribution more accessible to a broader audience.

A brief discussion of the robustness of the simulation-based estimation would also be helpful. For instance, the authors could provide a short justification for the choice of 10,000 simulations, or include a qualitative remark on the sensitivity of results to this parameter.

The economic interpretation could be further strengthened by making the distinction between spillover and contagion effects more explicit in economic terms and by linking the findings more directly to the existing literature.

The discussion of counterintuitive findings (e.g., leverage and local government debt variables) is appreciated. However, it would be useful to emphasize these interpretations more clearly in the main discussion and to clarify whether these findings are likely to be context-specific or driven by modeling choices.

Minor improvements

- Some parts of the methodology remain quite dense; a short guiding paragraph could improve readability.

- A compact table summarizing notation could help readers navigate the model more easily.

- Figure captions could be slightly expanded to improve standalone readability.

- The resolution of figures should be improved.

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-->7. PLOS authors have the option to publish the peer review history of their article (what does this mean?). If published, this will include your full peer review and any attached files.

If you choose “no”, your identity will remain anonymous but your review may still be made public.

Do you want your identity to be public for this peer review?  For information about this choice, including consent withdrawal, please see our Privacy Policy.-->

Reviewer #1: No

Reviewer #2: No

Reviewer #3: No

**********

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Attachments

Attachment

Submitted filename: review.pdf

Dynamic Financial Tail Risk Networks: A Backtesting-based Conditional Expected Shortfall Approach

PONE-D-25-35082R2

Dear Dr. Shen,

We’re pleased to inform you that your manuscript has been judged scientifically suitable for publication and will be formally accepted for publication once it meets all outstanding technical requirements.

Within one week, you’ll receive an e-mail detailing the required amendments. When these have been addressed, you’ll receive a formal acceptance letter and your manuscript will be scheduled for publication.

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Kind regards,

Roy Cerqueti, Ph.D.

Academic Editor

PLOS One

Additional Editor Comments (optional):

Reviewers' comments: