This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures … competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between … competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess …

compute bank portfolio sensitivities to a large number of risk factors (e.g. interest rates, equity prices, credit spreads …

of joint bank default. Because of counterparty risk or common exposures, bad news about one bank reveals valuable … information about another bank, triggering information contagion. When banks are subject to common exposures, information … contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to …

We study a structural model of individual bank defaults across the banking sector; banks are interconnected through …

how a pecuniary externality affects a bank's leverage. We show that the laissez-faire banks in our model take on excessive …

Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence … and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated … the rollover risks of a bank and a government, which are connected through the government's guarantee of bank liabilities …