The aim of this paper is to contribute to the debate on systemic risk by assessing the extent to which distress within … systemic risk. To this end, we rely on the ΔCoVaR systemic risk measure introduced by Adrian and Brunnermeier (2011). In order … to provide a formal ranking of the financial sectors with respect to their contribution to systemic risk, the original …

elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk …Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur … the interdependency of risk factors. Given a stressful situation for one market participant, one likes to measure how this …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the …. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk is typically … no obvious way to identify which method is the best. Finally, we discuss the main problems in risk forecasting for macro …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the …. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk is typically … no obvious way to identify which method is the best. Finally, we discuss the main problems in risk forecasting for macro …

keep up-to-date with banking sector developments. Banks face a reputation risk arising from exposure to money laundering …/financing of terrorism risk in both domestic and international activities. The authorities have already elaborated contingency …

banks coupled with efforts to enhance risk awareness and strengthen home-host coordination. The Croatian National Bank (CNB …

significantly higher sovereign risk once the condition that another economy is in distress is imposed. …