effects of interconnectedness structures that are consistent with markets' perceptions of risk. We then show how SE losses can …

contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The … heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects …

extensive use of bank guarantees and expansionary macro policies than crises in low- and middle-income countries. We complement …

individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures … increases with bank size. The conditional tail comovement between the banking system and a top decile bank which is losing …

affecting bank solvency during adverse macroeconomic conditions. This paper demonstrates the effectiveness of using extreme …