as they allow to substantially increase risk aversion, and consequently generate non-trivial risk premia, without … considered. The level and the dynamic pattern of risk premia are also markedly altered. We show that the effect of Epstein …

This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a … shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength … of a system value at risk, Shapley values are used to define the systemic risk charge levied upon individual banks. Using …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

a backward stochastic differential equation and incorporates preference for the local risk of the stochastic utility …