The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive … data from the BIS and IMF, the possible outcome of domestic crises and how contagion spreads over countries. Results allow … affect each other country by contagion, signaling the importance of financial interdependence between some neighboring …

We construct an empirical measure of expected network spillovers that arise through default cascades for the U … (like the fed funds market) or one specific financial instrument (like credit default swaps). We find negligible expected … spillovers from 2002 to 2007 and from 2013 to 2016. However, between 2008 and 2012, we find that default spillovers can amplify …

A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the … 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk … payer bailout. We provide an empirical reconstruction of the US CDS network based on the FDIC Call Reports for off balance …

(SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk …

's default and the ensuing default contagion. In unwinding the defaulter's positions, the CCP faces the price impact of …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …

integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … (default-free) risk-free benchmark (i.e. bearing interest rate risk only) to sovereign debt as a credit risk asset. Therefore … of contagion: systemic risk rankings based on market price estimates (e.g. CoVaR) are compared with the rankings obtained …

competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess …This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures … competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between …