that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

the macroprudential regulator at the national level. In this paper, we ask whether the drivers of systemic risk differ … bank's contribution to systemic risk (SRISK) at the national and the euro-area level. Our research delivers three main … findings. First, on average, systemic risk increased during the financial crisis. The difference between systemic risk at the …

adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and …/country-specific systematic factors, the model focuses on credit default concentration risk as a major source of large losses that may have … systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk …

returns of banks are positively related to sovereign risk, with Greek banks experiencing extremely high abnormal returns. By … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …

Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data …. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks … engage in a loan contract and both are subject to default risk. In the model, a wave of corporate defaults leads to losses on …

countries with high domestic crisis risk enable contagion to the home economy. This asset-side channel opposes traditional views … that policy makers can significantly enhance current early warning models by incorporating exposure-based risk from cross …

shocks affecting banks’ capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship …

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …