regulation, recovery and resolution, and risk culture. …

banking system to aggregate liquidity shocks? And what are the implications, if any, for banking regulation? To answer these … questions, I study a Diamond-Dybvig environment, where banks hedge against aggregate liquidity risk in the interbank market or … contract, and default in equilibrium only when facing systemic liquidity risk. In this case, the allocation at default is …

appear to be less informative for default risk measurement compared with automated valuation models …

dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are … crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are …

-specific variables. Data on regulation, supervision and monitoring variables, and activity restrictions are from the most recent Bank … Regulation and Supervision Survey database conducted by the World Bank, published 2012. Besides these we incorporate bank size … banks from 21 European Union countries for the post-crisis year 2010, controlling for bank-specific and country …

, whilst removing credit risk transmission, systematically increase default risk …

is the regulator's power to trigger the regime by determining whether or not a bank is likely to fail. The use of the Act … with Dunfermline Building Society has highlighted the importance of some guidance being developed to assist a bank or … with the Bank of England and the Treasury. This paper looks at the key features of the Canadian and US models of early …

aggressive stance by bank regulators with respect to the provisions for loan losses and write-downs of banks' non …

An extensive review of the evidence related to the 2007-09 crisis reveals that it was an insolvency risk crisis, not a … liquidity crisis. The appropriate post-crisis regulatory reform should therefore focus on increasing capital requirements. The … Basel III liquidity requirements do not serve a useful economic purpose in dealing with the root causes of the stresses that …

. The algorithm provides a ranking for the set of Nash equilibria, which can serve as a measure of systemic risk. Finally …