We exploit the information content of option prices to construct a novel measure of bank tail-risk. We document a persistent increase in tail-risk for the U.S. banking industry following the global financial crisis, except for banks designated as systemically important by the Dodd-Frank Act. We...

This paper exploits the information content of option markets to offer fresh insight into the Too-Big-to-Fail (TBTF) problem for banks. I employ option prices to construct a forward-looking measure of bank exposure to significant price drops (i.e. tail-risk) and explore cross-sectional...

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky really do create systemic risk before subjecting them to...

I develop a model of contagion that stems from endogenous risk-sharing when financial firms differ in distress levels. Firms face costly liquidation and strategically trade assets, thereby forming links. A link with a distressed firm can be socially costly as it raises system-wide liquidation...

We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk (CoVaR) for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to...

We model the systemic risk associated with the so-called balance-sheet amplification mechanism in a system of banks with interlocked balance sheets and with positions in real-economy-related assets. Our modeling framework integrates a stochastic price dynamics with an active balance-sheet...

This paper analyzes the level and cyclicality of bank capital requirement in relation to (i) the model methodologies through-the-cycle and point-in-time, (ii) four distinct downturn loss rate given default concepts, and (iii) US corporate and mortgage loans. The major finding is that less...

This paper develops a bank model for financial systemic risk in bank lending. The model analyzes the impact of a financial institution failure on the distribution of losses in the financial system. The fundamental idea is that bank loss rates may be decomposed into a level, momentum, systematic...