Tzouvanas, Panagiotis - 2022
This paper sheds light on the impact of firms' risk measures on systemic risk. Firm risk, which is captured by the … volatility of stock market returns, is also decomposed into systematic and idiosyncratic risk. Using a sample of 2,667 US banks … for over 30 years, it is shown that idiosyncratic risk can surge systemic risk, while systematic risk plays a less …