market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …

could be implemented to compute bank-specific capital surcharges for systemic risk or stabilisation fees. We find that size … alone is not a reliable proxy for the systemic importance of a bank in this framework. In order to smooth cyclical …

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank … location, not bank assets. Dynamically, we find that global banking connectedness displays both secular and cyclical variation …

episodes of intensi fied (systemic) bank risk: specialization (capturing overexposures), differentiation (capturing indirect … nd that both individual and systemic bank risk decrease withspecialization. Indirect connectedness of banks is … particularly (and negatively) related to individual bank risk, whereas direct connectedness of banks is particularly (and …

macroprudential perspective of bank regulation …

generates heterogeneous changes in lending across counties, which aggregate at the bank level. We quantify the effects of El …