ratio as a monitoring tool to detect episodes of excessive risk-taking has become even more relevant. Besides capturing the …

at all differ depending upon the macroeconomic climate. We calculate the systemic risk measures of MES, SRISK, NSRISK … as well as contribution to systemic risk. We then conduct difference-in-differences analysis utilizing a non …-merging control group to determine whether the change in these risk metrics is truly unique to the merging banks. For MES, NSRISK, and …

This paper examines whether the risk of future collateral fire sales affects lending decisions. We study US mortgage … risk of joint collateral liquidation. As expected, these results are stronger when fire-sale risk is more salient. The … results suggest that fire-sale risk has implications for credit allocation, and that lenders’ collective (ex-ante) origination …

Does higher policy uncertainty lead to higher financial risk for sure? This study shows an opposite evidence. Based on … large negative impact on the bank systemic risk, and the effect is more pronounced for small and unprofitable banks. Further … analysis shows that the decline in bank systemic risk is due to the lower similarity of asset and liability structure between …

Rather than taking on more risk, US insurers hit hard by the crisis pulled back from risk taking, relative to insurers … hit less hard by the crisis. Capital requirements alone do not explain this risk reduction: insurers hit hard reduced risk … within assets with identical regulatory treatment. State level US insurance regulation makes it unlikely this risk reduction …

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility and increases risk premia on asset prices. A countercyclical capital buffer lowers …

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

buffers leading to an increase in risk premia, from a heightened price of risk. Theoretically, I develop a model that predicts … that as buffers are announced 1) The price of risk increases, 2) Systemic risk falls, and 3) Intermediaries' risky asset … allocation decreases, as other agents with higher risk aversion increase their portfolio weights in the risky asset. Empirically …