positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …

systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …

In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are …