This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...

This paper proposes a new measure of tail risk spillover, namely the conditional coexceedance which is the number of joint occurrences of extreme negative returns in an industry conditional on an extreme negative return in the financial sector. The empirical application provides evidence of...

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...