-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of …

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 …