Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced … security-by-security basis from historical daily traded volumes and price returns. Systemic risk within the euro area financial … heterogeneous price impact parameters. Another new feature in this work is the application of a price-at-risk measure instead of the …

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect … portfolios. In this work, we propose a methodology to quantify systemic risk derived from asset commonality and we apply it to … systemic risk originating from asset commonality. The novel indicator proves to be consistent with other indicators of systemic …

-pricing theory to estimate this implicit price in the data and find that the optimal tax is pro-cyclical. It is therefore optimal to … generates large welfare gains, it also reduces risk premiums and raises the average risk-free real rate. The effect of the tax …