should be nowadays replaced with a network-oriented view. Closer insight into the concept of systemic risk can refer to the …Systemic risk is a fundamental constituent of contemporary financial systems. For the past decades a growing number of … external or internal impulses. This requires a paradigm shift in thinking about systemic risk. A component-oriented perspective …

spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different … commodity network structures and non-identical direction of risk transmission between commodities in these two crises. Gold and …Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk …

. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

network. Our results reveal that the US, the UK, France and Germany pose the highest threat to the systemic stability …

This paper studies how global banks transmit liquidity shocks via their internal capital markets. The unexpected access … as our liquidity shock. Using microdata on all affiliates abroad, we test whether affiliates located outside the US … actively managed internal capital markets and the increased centralization of global banks' liquidity management at the …

We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and … to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which …' recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise. …