We propose a new methodology of assessing the effects of individual institution's risk on the others and on the system … as a whole. We build upon the Conditional Value-at-Risk approach, however, we introduce the explicit Granger causal … linkages and we account for possible nonlinearities in the financial time series. Conditional Value-at-Risk-Nonlinear Granger …

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been … Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance …

level, I find that managers systematically underestimated their exposure to pandemics in their SEC-mandated risk factors …

This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing … evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while … the tail risk of the market index did not respond before the outbreak, we document that the tail risk of less pandemic …