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 …