primary and secondary market yields, market segmentation, and measures of information acquisition during the Eurozone …

financial crisis of the 20th century - the Great Depression. Using balance-sheet and systemic risk measures at the bank level …, we build an econometric model with incidental truncation that jointly considers bank survival, the type of bank closure … (consolidations, absorption, and failures), and changes to bank risk. Despite roughly 9,000 bank closures, risk did not leave the …

exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … triggered by the collapse of Silicon Valley Bank. ROE predicts systematic tail risk much better than conventional measures based …