contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and … measures of the banks' contribution to systemic risk and find that the new measure proposed in this study, Net Shapley Value … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …

ratio as a monitoring tool to detect episodes of excessive risk-taking has become even more relevant. Besides capturing the …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility and increases risk premia on asset prices. A countercyclical capital buffer lowers …

between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of … key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of … systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding …

context, this paper analyzes the systemic risk of both banks and non-bank sectors (securities firms and insurance companies …) in South Korea over different time periods. Using the widely recognized ΔCoVaR methodology for measuring systemic risk …, the analysis reveals that systemic risk increased substantially across all three sectors (banks, securities firms, and …

risk of banks with a low market capitalization. We argue that this adjusted measure of capital is the relevant market … allows us to introduce this correction in the SRISK framework for measuring systemic risk …

stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors …

This paper studies the significant variation in the cross-section of standalone and systemic risk of large banks during … the recent financial crisis to identify bank specific factors that determine risk. We find that systemic risk grows with … capital on standalone bank risk. Our results contribute to the ongoing debate on the merits of imposing systemic risk …

the globe. Moreover, since the onset of the euro zone sovereign debt crisis, the systemic risk in Europe also appeared to … affect the banking sector risk in other regions. While both effects are mentioned frequently in the public discourse on … banking sector risk contagion and regulation, a scientific examination of these inter-regional contagion effects is to the …