particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to …

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person … decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk … of many market participants: They are endogenous. We develop a general equilibrium model with endogenous credit risk that …