This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect … portfolios. In this paper, we propose a new methodology for identifying and assessing banking sector systemic risk stemming from … compute bank portfolio sensitivities to a large number of risk factors (e.g. interest rates, equity prices, credit spreads …

Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main …

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that have been …

We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …

Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main …