This paper investigates how countries' micro-prudential regulatory regimes are related to banks' systemic risk. We use … a bank-level systemic risk indicator that can be decomposed into a bank's individual risk and its systemic linkage. To … proxy the strictness of a country's regulatory regime, we employ World Bank survey data …

In this paper, we examine the impact of adopting macroprudential policies on bank risk taking and systemic risk. Using … find that macroprudential policy instruments mitigate bank risk taking and lower systemic risk. The mitigation depends on …' assets or liabilities are not effective. We find the impact of borrower-targeted macroprudential policies on systemic risk is …

We study the relation between country financial connectedness and systemic risk for U.S. banking organizations with … globally connected financial markets contribute more to U.S. systemic risk. These adverse effects are amplified by systemically … risk transmission, risk spillovers to the U.S. from foreign financial crises are magnified when the countries in crisis are …

Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However … persistence of institutions' systemic risk we develop and employ the Conditional Shortfall Probability (CoSP), which is the … aggregate systemic risk measures, namely the Aggregate Excess CoSP and the CoSP-weighted time-lag, that reflect the systemic …

of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across … systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a … the underlying banks. Third, risk minimization and equalization approaches are adopted to allocate the capital …

at the expense of taxpayers: the merger-bailout has increased Switzerland’s sovereign credit risk, resulting in an …

The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk … risiko i danske banker og den danske finansielle sektor som helhed for perioden 2005-15. Det systemiske risiko-bidrag for en …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …