regulation, recovery and resolution, and risk culture. …

This paper studies the significant variation in the cross-section of standalone and systemic risk of large banks during … the recent financial crisis to identify bank specific factors that determine risk. We find that systemic risk grows with … capital on standalone bank risk. Our results contribute to the ongoing debate on the merits of imposing systemic risk …

shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is very different from the V …-Lab stress test, whereas when measured relative to total assets, the results are quite similar. We show that the risk measures … used in risk-weighted assets are cross-sectionally uncorrelated with market measures of risk as they do not account for the …

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can … empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007-2009 …

center of both crises, particularly of the European sovereign debt crisis. This article analyzes systemic risk of European … “Systemic Expected Shortfall” concept developed in Acharya et al. (2010) which creates a systemic risk index among financial … particularly peripheral countries in Europe, that is, banks' sovereign debt holdings are a major contributor to systemic risk …

This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial … the face value of the debt of the entire sector. We conceive of an individual bank's systemic risk as its contribution to … losses or reluctant to exercise the call, the government itself becomes a secondary source of systemic risk. We apply our …

This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial … the face value of the debt of the entire sector. We conceive of an individual bank's systemic risk as its contribution to … losses or reluctant to exercise the call, the government itself becomes a secondary source of systemic risk. We apply our …

change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand how market participants form climate risk expectations and …