cooperative banks, extending approaches that rely on information from the public equity market. We account for correlated losses … universe of Dutch banks and insurers. …

We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates … systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a … correlation structure in the default dependencies between banks is estimated from co-movements in the single-name CDS spreads of …

construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately … held institutions, and coöperative banks, extending approaches that rely on information from the public equity market only … banks where we find discrepancies between the capital adequacy of the largest contributors to systemic risk relative to less …