The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … banking (i.e., to model risk from a systemic point of view and not only from the perspective of an individual bank). As the …

Banks are growing ever larger compared to their national economies. We show that increases in relative bank size … (measured as a bank's liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not …, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank …