What Factors Drive Systemic Risk during International Financial Crises?

We analyze the determinants of the contribution of international banks to both global and local systemic risk during prominent financial crises. We find no empirical evidence supporting the hypotheses that bank size, leverage, non-interest income or the quality of the bank's credit portfolio are persistent determinants of systemic risk across financial crises. In contrast, our results show that global systemic risk in particular is predominantly driven by characteristics of the regulatory regime. We also confirm, for the subprime crisis, the hypothesis that the banks' contribution to moderately bad tail events in the past predicts the financial sector's crash risk