Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

buffers leading to an increase in risk premia, from a heightened price of risk. Theoretically, I develop a model that predicts … that as buffers are announced 1) The price of risk increases, 2) Systemic risk falls, and 3) Intermediaries' risky asset … allocation decreases, as other agents with higher risk aversion increase their portfolio weights in the risky asset. Empirically …

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 …

We examine the systemic risk of 61 SIFIs (i.e., 33 G-SIBs and 28 IAIGs) between 2010 and 2023. We estimate SIFI’s CoVaR … using a single index model with LASSO variable selection and construct a set of tail risk network-based systemic risk …’s systemic risk. We also find that the systemic risk of G-SIB Grangerly causes the systemic risk of IAIG, but not vice versa. Our …

and public bailouts.The evidence of a substantial underestimation of the risk related to a general credit spread widening … leads to investigate the reason why risk management systems, in the early stage of the financial crisis, were not able to … financial instruments, a treatment of expected losses that is aligned with the most common methodologies for credit risk …

We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will … result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken …: continue regulating by enforcing risk measurement algorithms at the cost of occasional severe crises, regulate more severely …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …