on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales …

We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system … area banking system had started to deteriorate before Lehman Brothers' file for bankruptcy, investors did not expect the … sovereign default risk has outpaced the rise of systemic risk within the banking system. …

-border contagion effects could turn out to be important in the EU because national banking problems could easily spread via the highly …I analyze the optimal design of banking supervision in the presence of cross-border lending. Cross-border lending could … imply that an individual bank failure in one country could trigger negative spillover effects in another country. Such cross …

size-paired banks decrease after bailout funding; notably, Money center-Large and Large-Small bank groups. The findings … suggest that the expectation of using CPP program to reduce probability of contagion effect in this recent crisis is feasible …

How do the returns on banks' assets affect the susceptibility of the banking system to a self-fulfilling run by …

calibration of the model to Eurozone banking data for 2006 yields that lengthening the average maturity of wholesale debt from its …

Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial …

and fundamentals in explaining banking and balance-of-payments crises. The excessive credit expansion to unprofitable … to renew loans to insolvent projects. In this case, the central bank intervenes printing money and validates … type of projects financed by the banking system may lead to crises with very similar dynamics, even if banks are just …

to test for contagion in equity markets and banking sectors following the global financial crisis of 2008-2009. The … results of the tests show significant contagion effects are widespread from the US banking sector to global equity markets and …A new test for financial market contagion based on increases in extremal dependence (co-kurtosis and co-volatility) is …