systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical … banks …

cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS … positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … benchmark specification, holdings of peripheral country bonds by banks from other countries do not constitute a statistically or …

is particularly important. For example, our data show that stock-bond contagion is approximately as frequent as flight to …

is particularly important. For example, our data show that stock-bond contagion is approximately as frequent as flight to …

existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a …We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In …: First, the probability of default (PD) of those banks directly affected by some shock increases. This increases the expected …

networks to show how contagion can propagate under different scenarios when the topology of the financial system, the … simple model of contagion as the one that has been popularized by Gai and Kapadia (2010). Then, we provide a richer model in …

defaults. The measure is based on an explicit criterion, the aggregate debt repayments, and is bank’s specific, affected by the … bank’s characteristics and links to other banks. Such measure can be useful to a regulator to determine in which banks cash …

CoCo's (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a … on other banks in the system in the likely case of correlated asset returns, so bankruns elsewhere in the banking system …