the explicit inclusion of volatile fair value estimates in regulatory bank capital adequacy assessments. I do not, however … to a bank's external stakeholders about its financial position and performance. I also show that higher fair value … volatility of investment securities, lower bank capital, and larger AFS security holdings increase banks' marginal contribution …

range of real sectors is limited. Our results imply that regulators and supervisors should address international bank … dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …

market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …

the recent financial crisis to identify bank specific factors that determine risk. We find that systemic risk grows with … bank size and is inversely related to bank capital, and this effect exists above and beyond the effect of bank size and … capital on standalone bank risk. Our results contribute to the ongoing debate on the merits of imposing systemic risk …

episodes of intensi fied (systemic) bank risk: specialization (capturing overexposures), differentiation (capturing indirect … nd that both individual and systemic bank risk decrease withspecialization. Indirect connectedness of banks is … particularly (and negatively) related to individual bank risk, whereas direct connectedness of banks is particularly (and …

concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …