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 …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

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 …

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 … than US ones. Regarding the consequences of systemic risk, we show that dependence between the banking sector and a wide …

We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland …, affected the linkage between the default risk of governments and their local banks. Our main findings suggest that in the … interdependence of government and bank credit risk is heterogeneous across countries, but homogeneous within the same country …

strengthening the system and containing the risk of future financial and economic disruptions. Three ingredients are needed to … analysis must be improved to take full account of the different sources of systemic risk. Data coverage of the balance sheets … will result in more robust capital base, lower leverage, less cyclical capital rules and better control of liquidity risk …

Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or … more, large and interconnected financial institutions. In this paper we estimate the systemic risk contribution of each … Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …

exceptionally high or low default risk given their assumption of a constant rate of mean reversion in the hazard rate. In contrast …