We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS … of rolling pairwise correlations do not always yield intuitive systemic risk indicators. …

is driven primarily by idiosyncratic country risk. We analyze several local and regional channels that may explain the … trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related …

themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to …. Second, while higher bank capital requirements decrease default risk and funding costs, they make it also more profitable to … agents is more prone to contagion risk stemming from funding shocks. …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …