methodology to choose scenarios by minimizing the estimation error of the risk of the profit and loss (P/L) distribution of a … of assessing risk for large financial institutions, yet scenario choice has largely been ad-hoc. We propose a principled … financial institution. We consider three separate cases: 1) a parametric case, when the P/L depends linearly on risk factors …

We provide new evidence about the effect of securitization on bank stability and systemic risk in the run-up to and … following the global financial crisis by considering the role of the bank lending channel of monetary policy. In so doing, we … use a structural model of bank stability to construct a new measure of the net effect of securitization on bank stability …

Conventional collateral requirements are highly conservative but are not explicitly designed to deal with systemic risk …. This paper explores the adequacy of conventional collateral levels against systemic risk in the Canadian futures market … during the 2008 crisis. Our results show that conventional collateral levels adequately absorb crisis-level systemic risk …

that are driven by out of equilibrium behavior, such as clustered volatility and fat tails. We argue that traditional … between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of … key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of …

subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels …

European banks over the period 1990-2006. We find that the intensity of bank M&A activity relates in a positive and … towards a higher default risk and better solvency for the sample banks. We also substantiate a significantly positive link of … the bank bailout support with the joint effect of M&A activity and “too big to fail” factor. While we obtain widely robust …

Purpose - This study contributes to existing literature by investigating bank capital structure dynamics during the … Covid-19 pandemic. The role of contemporary bank-specific determinants of capital structure during this period is analyzed …. Design/methodology/approach - An independent t-test is carried out to check the response of bank leverage to the crisis …

at the expense of taxpayers: the merger-bailout has increased Switzerland’s sovereign credit risk, resulting in an …