This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …

We empirically examine financial institutions' motivations to take systematic bad-tail risk in the form of sponsorship …

The unusual severity of the recent global financial crisis has drawn much attention to systemic risk, particularly its … measurement, and the institutions that contribute most to it. This paper provides an empirical examination of the systemic risk … counterparts. Finally, we find that the greatest contributors to systemic risk are not necessarily large banks …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is very different from the V …-Lab stress test, whereas when measured relative to total assets, the results are quite similar. We show that the risk measures … used in risk-weighted assets are cross-sectionally uncorrelated with market measures of risk as they do not account for the …

framework delivers more stable interconnectedness rankings over time than other market-based measures of systemic risk …