We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

We investigate the information content of stock correlation based network measures for systemic risk rankings, such as … complement currently available systemic risk ranking methods based on book or market values. A further analytical investigation …

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over … estimating how risk sharing has evolved since the start of the EMU, and in particular during the recent crisis. Our results …