and sovereign risks. In this paper we analyze the magnitude and changes in risk exposures that are reflected in bank stock … investigate bank risk in different economic environments including the introduction of the Euro and the recent financial and … sovereign debt crisis. Second we examine whether banks have experienced a change in their risk exposures during the last two …

We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk …. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks …

This paper studies the impact of interbank risk exposures due to fire sales in the interbank lending market. We …