systemic risk have changed structurally. Our new framework complements traditional stress-tests focused on single institutions … by providing a holistic view of systemic risk. …

(SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk …

, with mimicking occurring only when competitors are taking more risk. Accordingly, this strategic behavior increases banks …' default risk and overall systemic risk, highlighting the importance of regulating liquidity risk from a macroprudential …

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk … (CoVaR) for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial … institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

The Chinese stock market crash in June 2015 has demonstrated necessary to improve understanding of systemic risk from … the perspective of financial network. This study constructs a tail risk network to present overall systemic risk of … Selection Operator (LASSO) method of high-dimensional models, our results show that firm's idiosyncratic risk can be affected by …

We provide a methodology to estimate a global credit risk factor (GRF) from CDS spreads. The estimated factor contains … useful insights for risk management and hedging of credit portfolios. Indeed, we present a factor model that can be used in a … stress testing methodology of credit portfolios as well as to evaluate future credit risk scenarios. Finally, we show …

risk as the Basel process unfolds. Most strikingly, we find that the exposure to systemic risk as measured by SRISK has … in containing systemic risk for the majority of European banks but not for the largest and most risky institutions. In … the second part we analyze the drivers of systemic risk. We find compelling evidence that the increase in exposure to …