We measure the systemic importance of all banks that issue publicly traded CDS contracts among the world’s biggest 150. Systemic importance is captured by the intensity of spillovers of daily CDS movements. Our new empirical tool uses Bayesian VAR to address the dimensionality problem and...

We provide a new methodology to measure the systemic importance of banks based on the intensity of spillovers of daily CDS movements. We apply this to all banks that issue publicly traded CDS contracts among the world's biggest 150 and identify which of these may trigger instability in the...

We relate the valuation dynamics of global systemically important banks (G-SIB) to levels of public sector corruption in their country of domicile. We show that G-SIB valuations benefitted from higher perceived public sector corruption before the global financial crisis (1998:Q1-2007:Q2), but...