We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

systemic risk in terms of coupled networks.Systemic risk to financial markets is often defined as the risk of a major and rapid … different class of risk agents in the market face, distinct from more conventional kinds of primary and secondary risks due to a …

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …

The unusual severity of the recent global financial crisis has drawn much attention to systemic risk, particularly its … measurement, and the institutions that contribute most to it. This paper provides an empirical examination of the systemic risk … counterparts. Finally, we find that the greatest contributors to systemic risk are not necessarily large banks …