), our approach estimates bank asset holdings at higher frequencies which allows us to derive precise estimates of (i …

This paper studies the relation between bank herding and financial system stability. I develop a set of bank … relation between bank herding and systemic risk contribution. I find that for large banks, asset herding is associated with … between bank herding and systemic risk contribution …

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …

-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it … defaults. The measure is based on an explicit criterion, the aggregate debt repayments, and is bank’s specific, affected by the … bank’s characteristics and links to other banks. Such measure can be useful to a regulator to determine in which banks cash …

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

. Second, while higher bank capital requirements decrease default risk and funding costs, they make it also more profitable to …