Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …

This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within … risk of the euro area banking system based on bilateral linkages. We then develop a Contagion Mapping (CoMap) methodology … contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find …

Liquidity stress constitutes an ongoing threat to financial stability in the banking sector. A bank that manages its … construct probabilistic classifiers that estimate the probability that a bank faces liquidity stress. The classifiers are …

of the largest systemic banks in euro in a pairwise comparison using bivariate extreme value theory. The dataset includes …

This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 … largest euro area credit institutions across 19 countries. The approach involves modelling banks’ reactions to changing … results highlight the importance of the starting level of bank capital, bank asset quality, and banks’ adjustments for the …