injection announcements on systemic risk for the banking sector in the U.S. and the euro area between 2008 and 2013. We propose … a new measure of options-based systemic risk called downside correlation risk premium (DCRP), which quantifies the … compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated …

risk in global financial markets. In a two-country and three-period model, correlated asset fire sales by banks generate … systemic risk across national financial markets. Relaxing regulatory standards in one country increases both the cost and the … inefficiently low levels of macro-prudential regulation. A central regulator internalizes the systemic risk and thereby can improve …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the …. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk is typically … no obvious way to identify which method is the best. Finally, we discuss the main problems in risk forecasting for macro …