This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through the possible existence of a market-wide stress event. The...

This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific...

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...

In this paper, abrupt and large changes in volatility of financial variables representing dynamics of the US financial sector are modeled with a joint regime-switching process, distinguishing "low" and "high" volatility regimes. I find that the joint "high" volatility regime for the TED spread,...

This paper examines the relationship between financial sector reforms and sustainable economic growth in Ghana. Employing the autoregressive distributed lag (ARDL) bounds testing approach and using GDP per capita as a growth indicator, this paper establishes a long-run relationship between...

The objective of this study is to analyze how financial connectedness impacts equity markets and potentially raises the cost of equity for firms that are more dependent on the financial sector. We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S....

We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non-financial U.S. company to this index. We find that there is a...

We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....