Rather than taking on more risk, US insurers hit hard by the crisis pulled back from risk taking, relative to insurers … hit less hard by the crisis. Capital requirements alone do not explain this risk reduction: insurers hit hard reduced risk … within assets with identical regulatory treatment. State level US insurance regulation makes it unlikely this risk reduction …

Systemic risk refers to the risk of financial system breakdown due to linkages between institutions. This risk cannot … for the task of assessing systemic risk and the new European Systemic Risk Board needs to address this issue. There is a … lot of exciting ongoing research devoted to measuring systemic risk and providing signals to regulators as to when and …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

swap index: the higher the bank credit risk, the higher the extra premium on fundamentals; 3) after ECB President Draghi …

captures three effects: (1) the effectiveness of the haircut policy, (2) CCP member default risk (conditional on sovereign … default) and (3) CCP default risk (conditional on both sovereign and CCP member default). The data show that, during the … sovereign debt crisis of 2011, repo rates strongly respond to movements in sovereign risk, in particular for GIIPS countries …

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among … counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow … counterparties: i) Ultimate Risk Sellers (URS), ii) Dealers (indirectly connected to each other), iii) Ultimate Risk Buyers (URB). We …