. Specifically, we introduce a measure called CRISK, systemic climate risk, which is the expected capital shortfall of a financial … institution in a climate stress scenario. We use the measure to study the climate-related risk exposure of large global banks in …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

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 …

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed … banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and … Said (2013) (El Qalli & Said, 2023), to measure the marginal risk of each component. Additionally, we analyze extreme …

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

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 …