We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

buffers leading to an increase in risk premia, from a heightened price of risk. Theoretically, I develop a model that predicts … that as buffers are announced 1) The price of risk increases, 2) Systemic risk falls, and 3) Intermediaries' risky asset … allocation decreases, as other agents with higher risk aversion increase their portfolio weights in the risky asset. Empirically …

In this paper we study systemic risk for North America and Europe. We show that banks' exposures to common risk factors … are crucial for systemic risk. We come to this conclusion by first showing that relations between North American and … financial crisis than North American ones. Regarding the consequences of systemic risk, we show that dependence between the …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

What is the impact of policy interventions on the systemic risk of banks? To answer this question, we analyze a …-affected European banks between 2005 and 2014. We find a positive and significant association of 'guarantees' with systemic risk, which … different for large banks. 'Liquidity injections' are similarly positively linked with systemic risk, but the long run effect is …

We show that risk-mitigating incentives dominate risk-shifting incentives in fragile banks. We study security trading … by banks, as banks can easily and quickly change their risk exposure within their security portfolio. For identification … less risk after financial stress shocks. Results hold within identical regulatory capital risk weights categories. Moreover …

agreements (repos) was recognized by external capital markets to increase bank risk in the pre-crisis period. In the crisis, we … find a negative relationship between repos and risk. We attribute this result to evidence suggesting that “good” banks were …

In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks … funding pressure for banks, but did not help to contain sovereign risk. In fact, banks of the peripheral countries used the … public funds to increase their exposure to risky domestic debt, so that when solvency risk in the Eurozone worsened the run …