should be injected during a default episode or to evaluate the impact of raising capital before the occurrence of default …

individual institutions to the risk in the system. Although the threat index and the default level of a bank both reflect some …. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate … form of weakness and are affected by the whole liability network, the two indicators differ. As a result, injecting cash …

financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards … direct spillovers from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via … counterparty credit risk. Importantly, we also introduce a mechanism for capturing how swings in ‘confidence’ in the system may …

In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may … influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several … sovereign sector and the mechanisms of risk transfer between the banks and the sovereigns when state aid is initiated. The model …

explain how to set the level and the composition of regulatory reserves to control for default risk. …This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we … discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural …

Understanding the nature of systemic risk and identifying the channels of diffusion of the shocks are the necessary … twofold: on one side, it reviews the theoretical frameworks which allow to assess the different dimensions of systemic risk … of systemic distress. The paper classifies the different definitions of systemic risk and discusses their significance …

pillar based on the European Systemic Risk Board (ESRB). Finally the main features of the new European supervisory …

In this paper we analyse aggregate and firm level systemic risk for US and European banks from 2004 to 2012. We observe … that common systemic risk indicators are primarily driven by firm size which implies an overriding concern for “too … 2007. By introducing a simple standardisation, we obtain a new risk measure that identifies Northern Rock as a top ranking …