setup in the United States underscore the importance of enhancing systemic risk oversight and building effective …

This paper develops a novel measure of systemic risk that combines mapping technology and regression methods. Self … banks from 2001 to 2017. Subsequently, these probabilities are aggregated into a size-weighted measure of systemic risk … dubbed SYSTEM. Empirical results show that, due primarily to large banks, volatility in systemic risk increased in 2005 …

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 …