In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...

This paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a...

We attempt to rank various banking network architectures according to their relative efficiency in distributing liquidity between banks. Using a fictitious economy where individual banks are part of a wider network, we perform a simulationsbased analysis that utilizes two alternative criteria of...