dimension of systemic risk and financial constraints as a key determinant of persistence. …

exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

We exploit the information content of option prices to construct a novel measure of bank tail-risk. We document a … persistent increase in tail-risk for the U.S. banking industry following the global financial crisis, except for banks designated … as systemically important by the Dodd-Frank Act. We show that this post-crisis difference in tail-risk for large and …

options as an early warning indicator of systemic risk within the financial sector. Using non-parametric methods of estimating … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … than small shocks. Before and during the initial phase of the financial crisis, we find that systemic risk increased …

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …

Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial … largest European financial firms and estimate their systemic risk over the 2000-2012 period. We find that, for certain …

(i.e. tail-risk) and explore cross-sectional differences between large banks with at least $50B in assets identified as … systemically important and smaller banks. I document a permanent increase in the average tail-risk of the U.S. banking industry as … stark post-crisis difference in tail-risk for banks above and below the $50B threshold is consistent with the notion that …

written on individual banks and options written on the bank index during the financial crisis. However, theory requires that …

Macro-finance theory predicts that financial fragility builds up when volatility is low. This "volatility paradox …" challenges traditional systemic risk measures. I explore a new dimension of systemic risk, spillover persistence, which is the … average time horizon at which a firm's losses increase future risk in the financial system. Using firm-level data covering …