excessive aggregate lending during a boom. It would also allow for an excessive build-up of risk in the financial sector, which …

their risk assessments and outcomes to those from a simple methodology that relies on publicly available market data and … market data; (iii) This discrepancy arises due to the reliance on regulatory risk weights in determining required levels of … capital once stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in …

their risk assessments and outcomes to those from a simple methodology that relies on publicly available market data and …) This discrepancy arises due to the reliance on regulatory risk weights in determining required levels of capital once … stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in stress tests …

. Consistent with such recourse, we find that conduits provided little risk transfer during the "run": losses from conduits …

. This way, one bank's dividend payout policy affects the equity value and risk of default of other banks. When such negative …

provide capital, and banks, which may take excess risk if they believe the regulator will provide capital. When the regulator … low cost of injecting capital may forbear on bad banks to signal toughness and reduce risk taking, and (ii) A regulator …

individual institutions to the risk in the system. Although the threat index and the default level of a bank both reflect some …

in turn are other banks. This way, one bank's dividend payout policy aects the equity value and risk of default of otther …

the cross-section of banks; and, the negative German loading reflects funding risk (flight away from bank funding to … German government bonds), a risk that is increasing in the US money market mutual fund exposures of European banks as well as … various proxies for bank short-term debt. Large banks and banks with low Tier 1 ratios and high risk-weighted assets had …

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to … pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic … risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes …