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 …

run simulations of bank valuations and asset prices under a set of stress scenarios. …

. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …

It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal … valuations. Based on this hypothesis, we construct an equilibrium in central bank refinancing operations organised as variable …

to an analysis of fiscal spillovers in the Eurozone, using the calibrated sectoral network structure from the World Input … other large Eurozone countries may be large, and within the range of empirical estimates. More importantly, we find that the … Eurozone production network is very important for the international spillovers. In the absence of international production …

We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty … differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble … median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build …