Systemic risk refers to the risk of financial system breakdown due to linkages between institutions. This risk cannot … for the task of assessing systemic risk and the new European Systemic Risk Board needs to address this issue. There is a … lot of exciting ongoing research devoted to measuring systemic risk and providing signals to regulators as to when and …

We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of … find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in … of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds …

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this … of cash flow, allowing regulators to assess risk magnitudes in terms of stresses to both economic values and also …

, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …

markets that had no connection to housing. We find that changes in the "LIB-OIS" spread, a proxy for counterparty risk, was …