-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …

at the expense of taxpayers: the merger-bailout has increased Switzerland’s sovereign credit risk, resulting in an …

The central problem for financial regulation is reducing systemic risk. Systemic risk is the risk that the failure of … paper addresses the five most important policies for dealing with systemic risk: the imposition of capital requirements, the … related limitations on bank size would not reduce systemic risk …

' lending incentives and the emergence of systemic risk. We show that under natural contracting assumptions, banks fail to … presence of this externality can function as a channel for the emergence of systemic risk. In particular, we show that (i …

This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period … 2005-2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii …) delta conditional value at risk, and (iv) lower tail dependence. Our results demonstrate that the alternative measurement …

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can … empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007-2009 …

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 … changes in systemic risk in India during the 2008 crisis. The paper also shows that there is merit in monitoring the SRI of …

and practitioners. By adopting a network approach to financial dependencies, we look at how climate policy risk might …