An operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, we propose an attribution methodology that has a number of appealing features: it can be used in conjunction with...

We identify three business models using balance sheet characteristics of 222 international banks and a data-driven procedure. We find that institutions engaging mainly in commercial banking activities have lower costs and more stable profits than those more heavily involved in capital market...

A measure of risk premium is derived from the comparison of spot and option prices across the US equity and eurodollar markets. Risk premia in both markets co-move with volatility risk. Option prices, however, seem to underreact to changes in return volatility forecasts.