The paper analyzes the role of systemic risk in normal and extreme market conditions. We provide a definition of financial stability and argue that systemic risk can significantly contribute to the amplification of financial crises. We interpret a constant (or decreasing) impact of systemic risk...

This paper analyzes simultaneous exceedances (coexceedances) of several stock index returns for different thresholds with a focus on the Asian crisis in 1997. We introduce a new concept of computing and estimating time-varying coexceedances and usethe quantile regression model to analyze...

Investors show different behaviour in falling markets and in rising markets. This paper demonstrates that the beta of individual stocks varies across the entire return distribution and that the variation depends on the frequency of the returns. While there is a symmetric u-shape increase for...

This paper proposes a definition for financial market stability and an econometric test. It analyzes the impact of systematic and systemic shocks on developed and emerging market stock indices in normal and extreme market conditions. Financial market stability is defined as a constant impact of...