The knowledge of the multivariate stochastic dependence between the returns of asset classes is of importance for many finance applications, such as asset allocation or risk management. By means of goodness-of-fit tests, we analyze for a multitude of portfolios consisting of different asset...

Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...