change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … typical bank loan maturities; (ii) incorporate bank-lending responses to climate risks; (iii) assess the adequacy of climate … risk pricing in financial markets; and (iv) better understand and incorporate the process of expectations formation around …

identify an asymmetric information problem: borrowers signal low financial risk to banks who are uncertain about borrower risk …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …

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 …

We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that … make external financing costly, the optimal contract between shareholders and employees involves some degree of risk … to rationalize with incentive theories of bonus pay - but support an important risk sharing motive. In particular …

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the … China. Although these measures show different patterns, our results suggest that systemic risk in the Chinese banking system … that Chinese banks are at greater risk according to the CoVaR, the SII and the VI approaches, but have the lowest MES. …

-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 …

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … central bank policy through the FX market. The tail impact is particularly sizeable for asset purchases and swap lines. The … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent …We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U ….S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk …

approaches to incorporating climate risk in macro-finance models. We then review the empirical literature that explores the … risk. We conclude by proposing several promising directions for future research in climate finance. …