rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

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 …

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 …

of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across … systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a … the underlying banks. Third, risk minimization and equalization approaches are adopted to allocate the capital …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … between the institutions, overcoming a modeling weakness in earlier studies. A latent risk factor with heterogeneous exposures …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … banks where we find discrepancies between the capital adequacy of the largest contributors to systemic risk relative to less …

become more probable too and systemic risk will actually go up after conversion. CoCo's thus lead to a direct conflict … stress. Finally the link between CoCo conversion and systemic risk highlights the tradeoffs that a regulator faces in …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS … of rolling pairwise correlations do not always yield intuitive systemic risk indicators. …