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 …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active …

result in systemic risk, increasing uncertainty about the quality of banks' assets and undermining trust in the banking …

corresponding risk-taking, the ensuing effect on their profitability and the respective publication effect. Exploiting the …

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 …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment … rate as a function of real activity and financial risk factors. We find that the conditional distribution of the changes in … risk defined as the possible joint event of large increases in the unemployment rate and large annual rates of inflation …

. We estimate a simple version of the model using market equity returns data to analyse spillovers in the values at risk … absorbed by the system. We show how the long-run risk of the largest and most leveraged financial institutions is very …