, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset …

-border contagion effects could turn out to be important in the EU because national banking problems could easily spread via the highly …I analyze the optimal design of banking supervision in the presence of cross-border lending. Cross-border lending could … imply that an individual bank failure in one country could trigger negative spillover effects in another country. Such cross …

.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk … the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent … long-term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory …

entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire …

We develop a dynamic computational network model of the banking system where fire sales provide the amplification … market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …

financial crisis of the 20th century - the Great Depression. Using balance-sheet and systemic risk measures at the bank level …, we build an econometric model with incidental truncation that jointly considers bank survival, the type of bank closure … (consolidations, absorption, and failures), and changes to bank risk. Despite roughly 9,000 bank closures, risk did not leave the …

-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it … defaults. The measure is based on an explicit criterion, the aggregate debt repayments, and is bank’s specific, affected by the … bank’s characteristics and links to other banks. Such measure can be useful to a regulator to determine in which banks cash …