granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels … amplify the systemic risk while the liquidity spread outcome varies due to different of model variables and the deepness of … the country’s financial market. We propose a practical systemic risk assessment framework and samples of technical …

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic … risk. In this framework, banking sector distress in the form of the joint probability of default of financial …

This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between … individualistic and short-term orientated culture environment will aggravate bank systemic risk in the time of policy uncertainty …

This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between … individualistic and short-term orientated culture environment will aggravate bank systemic risk in the time of policy uncertainty …

(systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at … the cost of increasing systemic risk. Later, a follow-up study showed that a particular strategy of securitization with … their implications for individual and systemic risk. We show that securitization that involves exchanging a portion of both …