between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks …. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …