This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...

This paper investigates the role of banks foreign asset holdings in transmitting credit risk internationally. Foreign exposure in risky assets might severely a.ect the solvability of credit institutions. Credit risk, in turn, transfers from banks to public accounts as a consequence of implicit...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

Post-crisis reforms aim to mitigate the systemic risks that arise from global systemically important banks (G-SIBs). Based on our estimates of G-SIBs' probability of distress, we find that their resilience has improved in recent years on the back of higher capital ratios. Furthermore, by...

From the financial supervisor's point of view, an early warning system involves an ex-ante approach to regulation, targeting to predict and prevent crises. An efficient EWS allows timely ex-ante policy action and can reduce the need for ex-post regulation. This paper builds on existing...

This paper examines banking crises in a large sample of countries over a forty-year period. A multinomial modeling approach is applied to panel data in order to track and capture end-to-end cyclical crisis formations, which enhances the binary focus of previous research studies. Several...

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common...