Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current …. Market monitoring of bank risk has typically been tested by regressing market-based risk indicators on various benchmark … indicators (such as accounting ratios and credit ratings) to detect whether the market tracks bank risk. This approach overlooks …

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk … explained by common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants …

, however, the bank can readjust the level of risk after the deposit rate is contracted, market discipline leads to an increase …

optimally designed and its premium is risk related. This is driven by the possibility of contagious bank runs. We prove that … bank runs can impose such great losses on banks, that banks choose less correlated portfolios to avoid contagion altogether …

In August 2007 the United Kingdom experienced its first bank run in over 140 years. Although Northern Rock was not a … particularly large bank (it was at the time ranked 7th in terms of assets) it was nevertheless a significant retail bank and a … outside the bank as depositors rushed to withdraw their deposits. There was always a fear that this could spark a systemic run …

term. This hypothesis was assessed with positive evidence in Mexico during the period 1991 - 1996, but was not checked …

banking system. Consequently, it is necessary to test the presence of responses to bank risk on the part of the economic …