the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that … bank market values hardly respond to changes in the default risk of individual systemic banks. Together, however, changes … in systemic banks’ default risk explain a substantial part of changes in other banks’ market values. This result is …

-cyclical instruments; 6. Boundaries of regulation, conduits, SIVs and reputational risk; 7. Crisis management:- (a) domestic, within …There are, at least, seven aspects relating to financial regulation where the recent, and still current, financial … risk management; 5. Procyclicality of capital adequacy requirements (and mark-to-market), Basel II; lack of counter …

Both global imbalances and financial market (de-)regulation feature prominently among the potential causes of the … investigate the relationship between financial market regulation and current account balances, an area for which limited empirical …

of last resort and other safety net issues. We devote particular emphasis to the analysis of systemic risk and contagion …

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We … start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the …. Applications of these techniques for the analysis and pricing of systemic risk has already provided significant benefits at least …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …