concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …

In this paper, we use three measures that arguably capture two dimensions of “bank systemic risk”, namely, (1) bank … funding maturity and (2) bank asset commonality, to empirically test whether bank systemic risk has a positive effect on … corporate investment. We document that in a sample of publicly listed firms in the United States over the period 1991-2013, bank …

banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood …This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and … to global shocks ( extreme systematic risk). Moreover, the estimators presuppose that bank equity prices are heavy tailed …

This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between … systemic linkage and bank tail risk. Using bank-level data of 25 economies during the period 2010-2020, we find consistent and … robust evidence that policy uncertainty is negatively associated with bank tail risk but positively related to systemic …