In competitive capital markets, risky debt claims that offer high yields in good times have high systematic risk … exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … (ROE) prior to a crisis have higher systematic tail risk exposure during the crisis. Proximate causes of crises differ, but …

assess risk magnitudes in terms of stresses to both economic values and also liquidity. Exposures would be measured before …Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this …

We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of … find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in … of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds …

show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is …

their risk assessments and outcomes to those from a simple methodology that relies on publicly available market data and … market data; (iii) This discrepancy arises due to the reliance on regulatory risk weights in determining required levels of … capital once stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in …

risk. These connections lead to two different network structures. In a clustered network groups of financial institutions … expectations are low, they do not roll over the debt and there is systemic risk in that all institutions are early liquidated. We …

regulatory initiatives, including proposed new capital requirements, are under consideration as a means of reducing systemic risk …. This paper examines the concept of systemic risk -- that failure of one firm will lead to the failure of a large number of … and integrated and the effects of OTC derivatives on these risks discussed. The key conclusion is that systemic risk has …

asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk …The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or …

, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …