shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings can lead to …

propose a new bank systemic risk measure to consider the two components of systemic risk: cross-sectional and time dimension …. The aim is to highlight the “time-space dynamics” of contagion, i.e., if the CDS spread of bank i depends on the CDS …. Moreover, we analyse the role of the European Central Bank in managing contagion risk. We find that monetary policy has been …

policies increase a bank's resilience to system-wide financial distress. However, the evidence also suggests that these … policies are not associated with reducing a bank's systemic risk contribution to the EU financial sector, which raises concerns … loan loss and lending standard provisions (often denoted in the literature as borrower-based measures) lessen a bank …