The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors … could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed … systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations …

risk; and (ii) should they be regulated more closely, and if so, how and to what extent? The paper begins with a basic … risk. It then reviews and evaluates some of the authorities'' proposed initiatives, and discusses some alternative …

To mitigate systemic risk, some regulators have advocated the greater use of centralized counterparties (CCPs) to clear …

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic … financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard … macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial …

markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively …

banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank … stylized United States banking system, we analyze correlated market and credit risk and estimate the probability that multiple … banks will fail or experience liquidity runs simultaneously. Significant systemic risk factors are shown to include …

'' incentives, we show that under an expanded mandate to explicitly oversee systemic risk, regulators would be more forbearing … degree of systemic risk vis-á-vis a multiple regulatory arrangement …