We propose a framework to link empirical models of systemic risk to theoretical network/general equilibrium models used to understand the channels of transmission of systemicrisk. The theoretical model allows for systemic risk due to interbank counterpartyrisk, common asset exposures/fire sales,...

We develop a new measure of financial conditions (FCs) that targets the growth of financial liabilities using the partial least square methodology. We then estimate financial condition indexes (FCIs) across European economies, both at the aggregate and sectoral levels. We decompose the changes...

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...