effects of interconnectedness structures that are consistent with markets' perceptions of risk. We then show how SE losses can …We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects …

area as markets use Germany's sovereign CDS as ahedge for systemic risk. Although most of the CDS changes for Germany …

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … credit risk during the period of the recent financial crisis …

We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies … patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas … mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that …

default risk not only in the financial, but also in non-financial sectors. Second, the paper analyzes the impact of two … but at the cost of raising long-term default risk in non-financial sectors. Strengthening the resolution framework for …

This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … tightening of most macroprudential tools—including DSTI and LTV limits, and capital requirements—reduces bank systemic risk …

Bank stress tests of climate change risks are relatively new, but are rapidly proliferating. The IMF and World Bank … building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

individual banks to systemic risk along the time dimension …

We introduce time-varying systemic risk in an otherwise standard New-Keynesian model to study whether a simple leaning …-against-the-wind policy can reduce systemic risk and improve welfare. We find that an unexpected increase in policy rates reduces output …