We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance … connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The … countries that impose risk on the system from those which sustain risk. …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network … interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market … and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s Value-at-risk …

consider several policy measures aimed at mitigating systemic risk, including caps on asset encumbrance, global legal entity …

We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk given … network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal …

their net assets). Additionally, issuer-oriented rules in the U.S. and Germany account for issuer risk differently: U … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …

systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal … impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company’s position … general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk …