We present an analytical framework for the forward-looking measurement of extreme market risk. In contrast to standard …

improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …

-linear return frameworks, assuming normal and heavy-tailed distributions, we identify non-exotic cases in which a change in a bank … bank. Assessments based on estimated SRCs could thus produce false interpretations and incentives. We also identify … potentially adverse side effects: A change in a bank's risk structure can make the measured SRC of its competitors increase more …

the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent … long-term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory …