We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that "survived" all the rebalancings by remaining constituents of the indices. We sort them according to their...

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...

4207 The system of non-bank financial intermediaries (NBFI; i.e., shadow banks) has grown rapidly in recent decades up to a roughly size of about Dollar 71 trillion. Shadow banks moved for a number of reasons into the focus of regulatory authorities: (1) the risks associated with circumventing...

Die Regulierung von Finanzinstituten erfuhr in den letzten Jahren einen grundlegenden Paradigmenwechsel. Hierbei wurde die Idee einer makroprudentiellen Bankenregulierung neu aufgegriffen. Makroprudentiell meint, dass im Gegensatz zum mikroprudentiellen Pendant nicht die individuellen Risiken...

The 2019 revision to the Capital Requirements Directive allowed the systemic risk buffer to be applied on a sectoral basis in the European Union. Since then an increasing number of countries have implemented the new tool, primarily to address vulnerabilities in the residential real estate...