This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial … related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various …

Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main …

This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by … unconstrained access to a complete set of Arrow securities choose to expose themselves to such risk to a socially inefficient extent … employ ex-ante risk markets to fully undo any expected government bailout. Finally, it finds that constrained market …

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies …’ exposure to each other (“contagion risk”) and to systematic risk. By applying structural break tests to those measures we study … whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and …

be rather low. If risk management techniques such as legal certainty for multilateral netting, limits on exposures …

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person … decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk … of many market participants: They are endogenous. We develop a general equilibrium model with endogenous credit risk that …

of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be …