We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from … equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor … returns, we estimate the implicit government subsidy for each systemic risk measure, and find that, from 1963 to 2006, only …

risk in which all banks choose inefficiently high leverage to fund correlated assets and market discipline is compromised … ; systemic risk ; bailout ; forbearance ; moral hazard ; capital requirements …

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed … last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 … but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …