(measured as a bank's liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not … entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks …, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank …

This paper quantifies the loan exposure to elevated environmental risk sectors of the banking system in the USA, EU … framework if prudential regulation of environmental risks is to be considered: the consideration or not of climate risk as … credit risk and the impact of environmental risks over probabilities of default over the entire business cycle …

This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between … systemic linkage and bank tail risk. Using bank-level data of 25 economies during the period 2010-2020, we find consistent and … robust evidence that policy uncertainty is negatively associated with bank tail risk but positively related to systemic …

contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and … measures of the banks' contribution to systemic risk and find that the new measure proposed in this study, Net Shapley Value … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

at all differ depending upon the macroeconomic climate. We calculate the systemic risk measures of MES, SRISK, NSRISK … as well as contribution to systemic risk. We then conduct difference-in-differences analysis utilizing a non …-merging control group to determine whether the change in these risk metrics is truly unique to the merging banks. For MES, NSRISK, and …

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …