On 23rd February 2017, SUERF and EY organized a conference on "Brexit and the Implications for Financial Services" at EY's offices, Churchill Place, Canary Wharf, London. While the outcome of the Brexit negotiations remains highly uncertain, the conference discussed the burning questions for...

Credit institutions are to an increasing extent using Contingent Convertible Bonds (CoCos) to meet part of their capital requirements, which could suggest that the market for CoCos contains useful information on the robustness of the issuer. This paper gives a thorough introduction to CoCos -...

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential...

We investigate the drivers of systemic risk and contagion among European banks from 2007 to 2012. First, we derive a systemic risk measure from the concepts of MES and CoVaR analysing tail co-movements of daily bank stock returns. We then run panel regressions for our systemic risk measure using...

In a banking network model, the ranking consistency of various popular systemic risk measures (SRMs) is analyzed. In contrast to previous studies, this model-based analysis offers the advantage that the sensitivity of the ranking consistency with respect to bank and network characteristics can...

This paper analyses the systemic risk in an emerging market context, with two innovations. It uses the average of the percentile ranking of three widely used measures of systemic risk of a firm to calculate a single systemic risk index (SRI) for the firm. It then uses the SRI to identify...

One of the several regulatory failures behind the global financial crisis that started in 2007 has been the regulatory focus on individual, rather than systemic, risk of financial institutions. Focusing on systemically important assets and liabilities (SIALs) rather than individual financial...

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity options as an early warning indicator of systemic risk within the financial sector. Using non-parametric methods of estimating changes in the dependence structure in response to...

We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 large U.S, banks from 1997 to 2021, We find that...

We investigate the consequences of banks' liquidity hoarding behavior for the stability of the financial system proposing a new model of banking contagion through two channels, bilateral exposures and funding shortage. Inspired by the key role of liquidity hoarding in the 2007-2009 financial...