systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking …

contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their …. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …

I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the … component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial … and bank specific shocks that have similar consequences to contagion. I use a Bayesian spatial autoregressive model that …

This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission … channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting …

-financial variables in predicting banking sector vulnerabilities. Using data for 23 European countries, we find that global variables and … banking sector capitalization that play a salient role in predicting vulnerabilities. Our findings can inform decisions on the …

credit events on the EU banking system and their potential spillovers. Domino effects in the CDS market: estimation of … of contagion: systemic risk rankings based on market price estimates (e.g. CoVaR) are compared with the rankings obtained …

holdings of debt, equity and other financial instruments. These exposures can cause direct contagion and thereby the spread of …

possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close human … can become big and global. Much of the empirical finance literature has focused only on "direct" contagion arising from … firms' contractual obligations. Direct contagion occurs if one firm's default on its contractual obligations triggers …