We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...

As part of the completion of the European Banking Union, the decision on the organization of institutional and deposit protection is still pending. The mere linking of these two objectives, which are by no means necessarily identical in terms of content, has recently led to heated controversy....

Contingent convertible bonds (CoCos) issued by European global systemically important banks (GSIBs) as part of their total loss-absorbing capacity (TLAC) are meant to enhance financial stability by forcing investors to absorb losses when a bank is under stress. Coupon payments are made at...

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2015) by presenting additional analyses and robustness checks. It also describes the procedure to construct proxies for the volume-weighted average haircuts applied by the ECB and Eurex Repo.The paper "The Euro...

The aim of this paper is to present and briefly analyse the provisions of the recent (24 May 2018) European Commission's proposal for a Regulation of the European Parliament and the Council, whose objective is to lay down a general framework for sovereign bond-backed securities (SBBSs). It is...

The aim of the present University notes is to provide a brief but comprehensive overview of the European Commission’s proposal for a Regulation of the European Parliament and of the Council “on Markets in Crypto-Assets (…)” (MiCAR), which was submitted on 24 September 2020. It is not...

This paper evaluates the impact of the March 2020 European Central Bank recommendation that banks do not pay dividends or buy back shares on their market values. It documents a causal negative impact on bank share prices of around 7% during the two weeks following its announcement. The...

This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...