We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that have been …

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in … banking, with a special focus on the dynamically developing area of systemic risk measures. A discussion of the features of …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …