results highlight the importance of the starting level of bank capital, bank asset quality, and banks' adjustments for the …

governments. Still, the debate is open on what the systemic risk is, and how to measure the contribution of each single bank … balance sheet data, developed on the idea that the contribution of each bank to the system can be captured by the variation of … the expected shortfall of the banking system when excluding the considered bank. We thus refer to it as the Leave …

-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …

sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …

range of real sectors is limited. Our results imply that regulators and supervisors should address international bank … dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …