This paper investigates on what drives the different determinants of systemic risk contribution in different countries, based on a dataset for commercial banks in a bank-based system (the BRICs and Japan) and a market-based system (the US). In both separate and pooled systems, the determinants...

This paper defines asymptotic marginal expected shortfall (AMES) for banks within a financial system and provides corresponding estimation method based on multivariate extreme value theory. The estimation method does not assume a specific dependence structure among bank equity returns. Both...

We document a unique determinant of financial systemic risks in China, share pledge financing (SPF) network, by studying all listed Chinese financial institutions that provide SPF business. As one of the most popular refinancing tools in China, SPF formulates a network among financial...