system. The method also allows for what-if analyses to optimize the risk exposures, and to plan an emergency strategy in case …

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 …

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 …

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 …

What is the impact of policy interventions on the systemic risk of banks? To answer this question, we analyze a …-affected European banks between 2005 and 2014. We find a positive and significant association of 'guarantees' with systemic risk, which … different for large banks. 'Liquidity injections' are similarly positively linked with systemic risk, but the long run effect is …

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 …

This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample … systemic risk. Moreover, larger banks and banks with a business model more exposed to trading and "nancial market volatility … systemic risk contribution of all banks. However, the ECB announcement of the Pandemic Emergency Purchasing Programme restored …