We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …

is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from …

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find … non-linear function of the combination of network structures and bank-specific characteristics. …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …