Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …

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

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 …

This paper studies the consequences of a regulatory pay cap in proportion to assets on bank risk, bank value, and bank …. The cap encourages diversification and reduces the need a bank has to focus on a limited number of asset classes. The cap …

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 …

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

governments. Still, the debate is open on what the systemic risk is, and how to measure the contribution of each single bank … balance sheet data, developed on the idea that the contribution of each bank to the system can be captured by the variation of … the expected shortfall of the banking system when excluding the considered bank. We thus refer to it as the Leave …