the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent …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 …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …

market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …

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

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank … cheaply, effectively shifting the risk of some of the potential sovereign default losses on the common central bank. … guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank …

coordinated ones when governments care equally about bank profits, taxpayers, and consumers. …

regulation on the probability of a crisis. We test this relationship by applying a Probit model of a non-linear specification to …: it rises as regulation stringency moves from low to medium levels and falls from medium to high levels. Countries located …

We study the efficiency of banking regulation under financial integration. Banks freely choose the jurisdiction where …

of systemic risk in the global financial system. This means that one of the most important current questions in … terms - in particular the ubiquitous notion of risk - but attach fundamentally different meanings to them. With the proper … activities, the limits of insurance can be re-established. Such delineation is essential to determine appropriate systemic risk …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …