-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …

sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …

This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and … banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood … to global shocks ( extreme systematic risk). Moreover, the estimators presuppose that bank equity prices are heavy tailed …

synthetic indices of systemic risk for each bank. An additional set of systemic risk indicators is computed by considering … together the network of conditional tail risk and bank-specific indicators of credit risk (in particular we use the ratio of …