This paper analyzes the systemic risk effects of bank mergers to test the “concentration-fragility” hypothesis. We use the marginal expected shortfall as well as the lower tail dependence between a bank’s stock returns and a relevant bank sector index to capture the merger-related change...

This paper estimates and compares two groups of high-frequency market-based systemic risk measures using European and US interbank rates, stock prices and credit derivatives data from 2004 to 2009. Measures belonging to the macro group gauge the overall tension in the financial sector and micro...

International diversification has costs and benefits, depending on the degree of asset dependence. We study international diversification with two dependence measures: correlations and extreme dependence. We discover that dependence has typically increased over time, and document mixed evidence...

President Pianalto discusses the economic outlook and the Federal Reserve’s recent actions, commenting on changes to the financial regulatory system. She makes the case for a new framework for categorizing financial institutions based on the degree of risk they pose to the financial system,...

In the next 25 years, the ongoing transformation of payments systems will press Chile and other countries to abandon their national currencies as means of payment and to choose the US dollar as their unit of account. That transformation is already well ad

We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of the banking system that is characterized by the interaction of many heterogeneous banks with the real sector, interbank credit relations as a consequence of bank liquidity...

In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we try to undertake an analysis at the level of the banking system. Such a perspective is necessary because the complicated network of mutual credit obligations can make the actual risk...

The term Systemic Risk belongs to the standard rhetoric of economic policy discussions related to the banking industry. Besides of the goal of protecting small depositors control of systemic risk is given as one of the main arguments for banking regulation. Various recent financial crises have...