. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …

Starting in September 2008, market regulators from stock markets across the world have introduced, at different points … bans is that short-selling increases the volatility and contagion risk of financial institutions. This paper uses Extreme … Value Theory to calculate univariate and contagion risk across financial institutions, and the effect of short-selling on …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and … to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which …' recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise. …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation …

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to … pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic … risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes …

We explore the dynamics of default cascades in a network of credit interlinkages in which each agent is at the same … exposure to those counterparties. A possible conjecture in this context is that individual risk diversification across more … particular, the diversification of credit risk across many borrowers has ambiguous effects on systemic risk in the presence of …

the U.S. would experience a sudden stop of capital flows, which would unavoidably drag the world economy into a deep … instead that the root imbalance was of a different kind: The entire world had an insatiable demand for safe debt instruments … of exposing the economy to a systemic panic. This structural problem can be alleviated if governments around the world …

Tests using Household, Income and Labour Dynamics in Australia (HILDA) unit record data from 2006/2007 to 2010 … result is statistically significant. Controlling for risk tolerance heterogeneity yields identical results …