This paper proposes a new measure of tail risk spillover, namely the conditional coexceedance which is the number of joint occurrences of extreme negative returns in an industry conditional on an extreme negative return in the financial sector. The empirical application provides evidence of...

This paper studies the impact of the banks' portfolio holdings of financial derivatives on the banks' individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 95...

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being...