We assess the efficacy of systemic risk measures that rely on U.S. financial firms' stock return co-movements with … bond spreads and narrative dating. Systemic risk measures exhibit substantial and robust predictive power in explaining the … emanating from banking sector fragility. Overall, market-based systemic risk measures offer a promising complement to macro …

This paper assesses the current state of knowledge about crisis risk and its implications for risk management. Better … data that became available since the Global Financial Crisis (GFC) has improved our understanding of crisis risk. These …

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 …

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 …

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial … collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk … trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic … financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard … of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the …

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

We present a model of flight to quality episodes that emphasizes financial system risk and the Knightian uncertainty …