Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...

Systemic risk is of concern for economic welfare as systemic financial crisis has the potential to inefficiently lower the supply of credit to the nonfinancial sector. Conventional systemic risk measures are parsimonious in nature and are used to assess the current systemic risk contributions of...

After the financial crisis in 2008, the world becamemore aware of the importance of the systemic risk. Within China's financial system, commercial banks have a dominant position. Therefore, the study of systemic risk of the banking industry in China has an important and real meaning. The present...

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...

We modify Adrian and Brunnermeier's (2011) CoVaR, the Value-at-Risk (VaR) of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows...

We explore the mechanisms by which intangible assets and R&D intensity mediate the relationship between global economic policy uncertainty and firm value. We find that firms in high intangible-intensity industries and those engaging in R&D suffer the most from restrictive governance policies...