An important challenge worthy of NSF support is to quantify systemic financial risk. There are at least three major … components to this challenge: modeling, measurement, and data accessibility. Progress on this challenge will require extending …

portfolio selection, capital asset pricing, pricing of derivative securities, credit risk, loan guarantees, financial innovation …, the dynamics of institutional change, and improving the methods of measuring and managing macro-financial systemic risk …

, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …

, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on … isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on … Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are …