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

lead to real reductions in risk as its benefits are limited to “good” times. Diversified banks are more exposed to … systematic risk and their credit supply is more sensitive to macroeconomic conditions, and monetary policy changes. Our study …

significantly increases systemic risk. In particular, herding in real estate loans by big banks contribute more to systemic risk. We … find bank herding interacts with boom period to provide a stronger predictive power of systemic risk to next period beyond …

We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing … simulations to propagate shocks emerging from three sources of systemic risk: interbank, asset price, and sovereign credit risk … the dominance of the sovereign credit risk channel amplifies, as the primary source of financial contagion in the banking …

We assess transmission channels of systemic risk and the effects of capital regulation in the European Banking Union …. Two interconnected channels of risk are analysed by employing a data-driven, heterogeneous network model. First, the risk …