time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives a …

institutions more prone to fail and increasing systemic risk given interconnectedness in the financial system. The implications for … systemic risk and prudential regulation are assessed under the prism of Basel III, and potential solutions involving changes to …

falling below four. To deal with systemic risks, the authorities deploy a multi-pronged approach consisting of risk …-based supervision, recovery and resolution planning, and conservative risk weights and definitions of loss absorbent capital. Most …

In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex … risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global … banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive …

. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk …

household debt levels are the most important potential risk factor and will need to be watched closely. …