information about another bank, triggering information contagion. When banks are subject to common exposures, information … contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to …We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability …

We estimate a structural model derived from the balance sheet identity to evaluate the effects of contagion and common … exposure on banks' capital, which varies endogenously as a function of assets and liabilities. Through a regression approach … inspired by the literature on structural vector autoregression, we infer the interdependence of banks' financial conditions. In …

arrangements among global reinsurers (retrocession). The authors find that contagion in the global reinsurance market is plausible …

systemic risk across banks. We document that the largest systemic risk contributors are buffered relatively less than the rest … most 1% of the banks' market capitalization, and hence the added systemic risk does not exceed the effect of a 1% downward …

large Canadian banks around the 2008 crisis. We find that core banks took positions against the periphery, increasing their … systemic risk as a group. On the portfolio level, position similarity was the main systemic risk driver for core banks, while … crossprice correlations drove the systemic risk of noncore banks. Core banks were more diversified, but their portfolios also …

Bank regulation is based on the premise that risks spill over more easily from large banks to the banking system than … banks with positive net exposure to the system had higher default risk during the 2008 crisis, and that bank size and …