We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U ….S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk … the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent …

the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that … bank market values hardly respond to changes in the default risk of individual systemic banks. Together, however, changes … in systemic banks' default risk explain a substantial part of changes in other banks' market values. This result is …

We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We … employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of … is associated with increased sovereign risk. The sector's depth provides mixed results. The stability (capital adequacy …

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the … China. Although these measures show different patterns, our results suggest that systemic risk in the Chinese banking system … that Chinese banks are at greater risk according to the CoVaR, the SII and the VI approaches, but have the lowest MES. …