We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

systemic risk. Equity capital acts as a buffer against losses, and reduces incentives for excessive risk taking. Basel capital … lower capital requirements resulting in excessive risk taking. Furthermore, the bank and the CDS seller (insurer) prefer … high correlation in their returns and jointly shift the risk to the regulator. CDS can be traded at a price higher than its …

weaker institutions, systemic risk critically depends on financial health of stronger in the contagion chain. Our analysis …

The financial crisis exposed enormous failures of risk management by financial institutions and of the authorities … assess where the balance has been struck between the robustness and the risk sensitivity of the capital framework. This paper … fundamental tradeoffs that may exist between robustness, complexity, and risk sensitivity. We review the history of risk …

risk premia, especially for longer maturities …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

policy uncertainty on nominal yields, short rates, bond risk premia and the term structure of bond yield volatility … predictor for bond risk premia …

encouraging banks to pursue safer investments in low-risk government securities …

pressure. This study examines the impact of COVID-19 on the systemic risk in eight of the most affected countries. Results … indicate a significant increase in systemic risk during the pandemic. All the sample countries exhibit stagnancy (at an … elevated level) in systemic risk during April 2020 except for China which has shown some recovery. By using the spillover …