Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector … captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. Finally, we show … that a shock in our Twitter sentiment index correlates positively with an increase in financial market risk, stock market …

We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in … that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk … Twitter sentiment index correlates positively with an increase in financial market risk, stock market volatility, sovereign …

Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk … structure of the Granger-causality tail risk networks to identify periods of distress in financial markets and possible channels … of systemic risk propagation. Combining measures of connectedness of these networks with the ratings of the sovereign …

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non …'s systematic risk, idiosyncratic risk, size or contagiousness increases the risk of the system but lowers the measured SRC of the … potentially adverse side effects: A change in a bank's risk structure can make the measured SRC of its competitors increase more …

systemic risk approaches, from definition to a selection of measurement instruments.Valuable steps have been made towards … producing comprehensive models. However,systemic risk measurement and mitigation remain open issues. …In hindsight of the 2008 crisis, the conspicuous underestimation of systemic risk has turned into a strong incentive …