prior to the crisis do not predict either bank failure or bank share prices decline, but D2D measured in mid-2008 does have … some predictive value for failure by end-year. The ‘option value’ of the bank safety net remains small except at the height … of the crisis and there is little indication of bank shareholders consciously using the safety net to shift risk onto …

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …

a deficit bank can mitigate a liquidity shortage by holding more claims on a surplus bank. Meanwhile, a greater … imbalance in liquidity positions across banks tends to aggravate the liquidity shortage of a deficit bank. According to … comparative analysis between different types of network structures, a core-periphery network with a deficit money center bank …

22 largest bank holding companies and investment banks from 1988 to 2008, we find that daily stock return correlation is …

diversify their collateral by holding claims on a big wholesale (merchant) bank whose asset side includes claims on the same … producer set. The merchant bank sector proves to be fragile (has a short distance to default) regardless of competition. In … this setting, the policy response, consisting in official guarantees for the merchant bank's liabilities, entails …

risk, suggests that “too-big-to-fail” is a valid concern from a macro-prudential perspective of bank regulation. …