regulation, recovery and resolution, and risk culture. …

models, the measurement and indicators of systemic risk, macroprudential tools and their effectiveness; and to identify …

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied … marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated … by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat … both categories independently in the calculation of risk capital. In practice positions in a portfolio depend … simultaneously on both market and credit risk factors. In this case, an approximation of the portfolio value function splitting value …

to an exogenous shock to credit risk in the German economy, loans subject to modelbased, time-varying capital charges …

risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked … more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms … of systemic risk require different optimal policy responses. …

addressing persistent sovereign uncertainty. We provide evidence of causality from volatility in CDS prices to sovereign risk …

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …