diversification strategy aimed at reducing individual bank systemic risk is a significant topic in both theory and practice. In this … study, we investigate the impact of cross-industry loan diversification on bank systemic risk using data from listed banks …, and reveal a significant positive correlation, indicating a clear'diversification systemic risk' effect. This effect …

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally … a systemic risk asset) with eight ordinary assets representing diverse industries. Using historical assets and options …

2022. The most predominant keywords used in research include "systemic risks", "risk assessment", and "measuring systemic … risk". The thematic evolution has revealed that over time, the focus on fundamental concepts used in analyzing these two …

In this paper, we explore how asset returns used as a proxy to detect interconnectedness of systemic risk in the … theories and their application provides a basis for policy makers to develop supervision frameworks to mitigate systemic risk. …

estimate the contributions of traditional banks vis-'a-vis non-bank financial intermediaries to changes in systemic risk …-prudential regulation, generally, decreases systemic risk among traditional banks, it has the opposite effect on systemic risk in the non … that macro-prudential tightening increases systemic risk in the entire financial system, through leakages between the …