rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree … reliably used to assess market risk. …

institutions’ systematic risk. We then develop an index of the estimated equity value loss as the long-rum marginal expected … shortfall (LRMES). LRMES contributes to compute systemic risk (SRISK) contribution of these firms, which is the capital that a … firm is expected to need if we have another financial crisis.FindingsLarge acquiring banks decrease systemic risk …

market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity … increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk …

the US banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk during the 2009 … spreads declined in response to the disclosure of stress test results. We also find that bank systematic risk, as measured by … systemic risk …

We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR … ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 … large U.S, banks from 1997 to 2021, We find that banks contributing more to the systemic risk have lower future returns on …

We document that higher measures of liquidity risk on banks balance sheets are associated with lower expected stock … returns. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG), which reflects how much of a … augmented with bond risk, market liquidity, and financial-size factors -- do not fully explain the cross section of bank stock …

return swaps with the banks whereby the bank is the actual owner of the stock, but Archegos would bear the risk of loss …