This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we … discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural … encompassing the effect of interconnections between institutions. We compute a risk premium specific to interconnections. In the …

measures allow us to rank firms in terms of risk connectedness and firm characteristics. We present a general systemic risk …. Second, the systemic risk in the financial sector built–up from early 2005, peaked in September 2008, and greatly reduced … after the introduction of TARP and the rescue of AIG. Anxiety about European debt markets saw the systemic risk begin to …

measures allow us to rank firms in terms of risk connectedness and firm characteristics. We present a general systemic risk …. Second, the systemic risk in the financial sector built–up from early 2005, peaked in September 2008, and greatly reduced … after the introduction of TARP and the rescue of AIG. Anxiety about European debt markets saw the systemic risk begin to …

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk … (CoVaR) for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial … institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a …

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 …

measures allow us to rank firms in terms of risk connectedness and firm characteristics. We present a general systemic risk …. Second, the systemic risk in the financial sector built–up from early 2005, peaked in September 2008, and greatly reduced … after the introduction of TARP and the rescue of AIG. Anxiety about European debt markets saw the systemic risk begin to …

regulated institutions such as bank holding companies and insurance companies, thus creating a source of systemic risk for the …