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 …

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 …

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

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 …

Part I. New Trends in International Financial Development and Risk Assessment -- Chapter 1. Adapted Approaches to … Pertseva , Anna Vityazeva -- Chapter 3. Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission … Emerging Markets’ Risk Management -- Chapter 6. New Ways of Measuring Catastrophic Risk Vigen Minasyan -- Chapter 7. Measuring …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … between the institutions, overcoming a modeling weakness in earlier studies. A latent risk factor with heterogeneous exposures …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … banks where we find discrepancies between the capital adequacy of the largest contributors to systemic risk relative to less …