' contribution to systemic risk by ΔCoVaR, that measures the contribution of bank i to the financial system VaR when bank i is in a … banks and on the need to curb their size. We find that size is indeed the main predictor of a bank contribution to systemic …

We find that the level of bank herding in real estate loans during boom period is substantially higher than the level … of bank herding in commercial and industrial loans or consumer loans. More importantly, we find that bank herding … find bank herding interacts with boom period to provide a stronger predictive power of systemic risk to next period beyond …

also demonstrate that for real-world interbank networks, simple network metrics other than individual bank connectedness do …We systematically analyse how network structure and bank characteristics affect solvency distress contagion risk in …-wide shocks and individual bank defaults initially increases and then decreases, all else being equal. The low density …

of joint bank default. Because of counterparty risk or common exposures, bad news about one bank reveals valuable … information about another bank, triggering information contagion. When banks are subject to common exposures, information … contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to …

contributes to the current debate on the optimal scope of bank activities, and highlights novel channels through which …

other balance sheet information. Using a sample of 95 U.S. bank holding companies from 2002 to 2011, we compare five …

We study a structural model of individual bank defaults across the banking sector; banks are interconnected through …

This paper assesses the predictive power of systemic risk measures (SRM) for bank defaults by applying a two …-staged probit model. Initially, bank defaults are predicted using only idiosyncratic variables. The model is then amended with SRM …, which should improve the forecasting accuracy under the hypothesis that bank failure can be either idiosyncratically or …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …