to individual banks in the Merton tradition (1974) as a combination put option for the deep tail of bank losses and a … knock-in stop-loss call on bank assets. This model expresses the value of taxpayer loss exposure from a string of defaults … the face value of the debt of the entire sector. We conceive of an individual bank's systemic risk as its contribution to …

closing data gaps include the G20 Data Gaps Initiative, which recommends the collection of consistent bank-level data for …

on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …

Economic theories posit that bank liability insurance is designed as serving the public interest by mitigating systemic … private interests of banks, bank borrowers, and depositors, potentially at the expense of the public interest. Empirical …-through subsidy targeted to particular classes of bank borrowers …