Banks are linked through the interbank deposit market, participations like syndicated loans and deposit interest rate risk. the similarity in exposures carries the potential for systemic breakdowns. this potential is either weak or strong, depending on whether the linkages remain or vanish...

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be...