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

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility and increases risk premia on asset prices. A countercyclical capital buffer lowers …

resolution reforms on the systemic risk of big financial conglomerates. We find that in developed countries, parents in a … stricter resolution regime have lower systemic risk contributions, compared to their foreign subsidiaries. The opposite is true … capital allocation through bail-in reduces systemic risk across the board, which has important implications for policymakers …

I analyze the rapidly growing literature about systemic risk in financial markets and find an important commonality …. Systemic risk is regarded to be an endogenous outcome of interactions by rational agents on imperfect markets. Market … imperfections give rise to systemic externalities which cause an excessive level of systemic risk. This creates a scope for welfare …

systemic risk have changed structurally. Our new framework complements traditional stress-tests focused on single institutions … by providing a holistic view of systemic risk. …

(SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk …

risk as the Basel process unfolds. Most strikingly, we find that the exposure to systemic risk as measured by SRISK has … in containing systemic risk for the majority of European banks but not for the largest and most risky institutions. In … the second part we analyze the drivers of systemic risk. We find compelling evidence that the increase in exposure to …

adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and …/country-specific systematic factors, the model focuses on credit default concentration risk as a major source of large losses that may have … systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk …

risk as the Basel process unfolds. Most strikingly, we find that the exposure to systemic risk as measured by SRISK has … in containing systemic risk for the majority of European banks but not for the largest institutions. In the second part … we analyse the drivers of systemic risk. We find compelling evidence that the increase in exposure to systemic risk …