-2007), crisis (2008-2010), post-crisis (2011-2013) and normalcy (2014-2016). We find that risk metrics such as leverage and …

exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed … last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 … but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

really do create systemic risk before subjecting them to this capital punishment. Evaluating the performance of two leading … systemic risk models, we show that estimation error alone prevents the reliable identification of the most systemically risky …

We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR … ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 … large U.S, banks from 1997 to 2021, We find that banks contributing more to the systemic risk have lower future returns on …