We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed … last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 … but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect … portfolios. In this paper, we propose a new methodology for identifying and assessing banking sector systemic risk stemming from … compute bank portfolio sensitivities to a large number of risk factors (e.g. interest rates, equity prices, credit spreads …

Objective - This paper uses a sample of annual observations of European banks to examine whether the liquidity risk … affects a bank's risk-taking behavior and its future loan growth.Methodology – A sample of European banks (27 member countries … of the European Union plus U.K.) over the period of 2005 to 2019 are used in this study. Liquidity risk is measured by …

This paper traces the roots of collateral flow and its potential vulnerabilities in the shadow banking system to their … regulatory treatment of certain types of collateral widely used to secure repo transactions in Europe. As sovereign bonds … constitute 80% of the financial collateral used in the European repo transactions, this paper details the preferential regulatory …

counterparty risk and asset risk. In equilibrium, lenders choose to re-use collateral. This increases the circulation of the asset … states where collateral value is high and maximizes borrowing capacity when it is low. Haircuts increase both with … and generates a "collateral multiplier" effect. Finally, we show that intermediation by dealers may endogenously arise in …