distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and … market risk calculated by VaR of the firms. It confirms that the decrease in liquidity increases the value at risk of the …

Assessing and monitoring systemic risk is a challenge for policy makers and supervisors in all countries. It is … by most of them. This paper discusses these common characteristics and how they shape the nature of systemic risk in LICs … effectiveness of systemic risk assessment and mitigation in these countries. …

Systemic risk is a very important but very complex notion in banking and how to measure it adequately is challenging …. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure … models credit risk of banks as a put option on bank assets, a tradition that originated with Merton. We conceive of an …

transmission of risk among interconnected banks and to measure their systemic importance. In this paper we show how classic input …

We model the systemic risk associated with the so-called balance-sheet amplification mechanism in a system of banks … stochastic price dynamics with an active balance-sheet management aimed to maintain the Value-at-Risk at a target level. We find … that a strong compliance with capital requirements, usually alleged to be procyclical, does not increase systemic risk …

from contagion (hunting). In distress, bilateral markets amplify systemic risk and volatility versus centralized markets …, lower risk sharing, and reduced allocative efficiency. Pricing distress volatility may suggest when to transition to central … clearing. The model suggests three metrics for the well-connected part of a market -- number of counterparties, average risk …