investors to counterparty risk. In this paper, we estimate empirically such risk exposures for a sample of physical and swap …-based funds. We find that counterparty risk exposure is higher for swap-based ETFs, but that investors are compensated for bearing … this risk. Using a difference-in-differences specification, we uncover that ETF flows respond significantly to changes in …

In this paper, we identify several shortcomings in the systemic-risk scoring methodology currently used to identify and … reduce their risk contributions …

We derive several popular systemic risk measures in a common framework and show that they can be expressed as … transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar … show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk …

We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take … studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory …