The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

Using panel data spanning 2004-2023 of 21 countries in the MENA (Middle East and North Africa) region, we measure systemic risk and assess its influence on key banking sector performance indicators, including financial stability (proxied by commercial bank branches per 100,000 adults), providing...

In the context of an ever-evolving global economy, ASEAN companies face dynamic systemic risk that reshapes their financial interrelationships. This study examines the transmission of these risks using advanced graph theory techniques, particularly the measurement of eigenvector centrality based...

This paper investigates the dynamic interdependencies between the European insurance sector and key financial markets-equity, bond, and banking-by extending the Generalized Forecast Error Variance Decomposition framework to a broad set of performance and risk indicators. Our empirical analysis,...

This paper examines whether global systemically important banks (G-SIBs) engage in window-dressing behavior to circumvent or reduce regulatory requirements, increasing vul- nerability to economic shocks. Using a comprehensive global bank sample, we uncover ev- idence of such practices: G-SIBs...

This study investigates systemic risk, return patterns, and diversification within the Johannesburg Stock Exchange (JSE) during the COVID-19 pandemic, utilizing data-centric approaches and the ARMA-GARCH vine copula-based conditional value-at-risk (CoVaR) model. By comparing three investment...

This study examined the relationship between Environmental, Social, and Governance (ESG) reporting quality and systemic financial risk in European equity markets. A novel index was developed to evaluate reporting quality, combining three dimensions: the scope of disclosures, the extent of...

As part of the completion of the European Banking Union, the decision on the organization of institutional and deposit protection is still pending. The mere linking of these two objectives, which are by no means necessarily identical in terms of content, has recently led to heated controversy....

Stock repurchases of banks have become an increasingly popular instrument of banks' payout policies after the Great Financial Crisis. Recent empirical evidence documents that stock repurchases are particularly popular among global systemically important banks that tolerate relatively high levels...

This study reveals the hidden systemic risk spillover effects within Morocco's banking industry using marginal effects derived from Conditional Value at Risk, network theory, and systemic risk indicators. Our findings identify Banque Centrale Populaire and Attijariwafa Bank as key propagators of...

Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...

We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...

Since the Global Financial Crisis of 2008-2009, the importance of non-bank financial institutions in macroprudential management has increased significantly. Consequently, major countries and international financial institutions have been actively discussing and implementing macroprudential...

Systemic risk refers to the potential for a disruption in one part of a financial system to trigger a cascade of adverse effects, impacting the functioning of the system. Despite the progress on novel systemic risk measures, research on dynamics of systemic risk network structure and its...

We analyze the impact of the announcement of the banking union on stock market returns of euro area banks against the backdrop of three commonly held views of the banking union. We document positive individual abnormal returns for most banks. Abnormal returns are large and positive on average,...