This paper proposes a theoretically sound and easy-to-implement way to measure the systemic risk of financial … institutions using publicly available accounting and stock market data. The measure models credit risk of banks as a put option on …-sector losses from systemic default risk as the value of a put option written on a portfolio of aggregate bank assets whose exercise …

We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data …’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank …

extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages … in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The …

In episodes of significant banking distress or perceived systemic risk to the financial system, policymakers have often …

financial system, which include making banking regulation more macroprudential—focusing on the cycle and systemic risk rather … than the risk of individual banks—and improving market discipline by limiting explicit and implicit government insurance of …