By introducing the concept of conditional probability of joint failure (CPJF), and by proposing a new measure for the systemic impact of currency crises, we provide new insights into the different sources of currency crises. We conclude that financial openness helps to diminish the probability...

We investigate whether the anchoring properties of longrun inflation expectations in the United States, the euro area, and the United Kingdom have changed around the economic crisis that erupted in mid-2007. We document that surveybased measures of long-run inflation expectations remained fairly...

Extreme losses are the major concern in risk management. The dependence between financial assets and the market portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression beta , defined by an asset's sensitivity to large...

This paper studies why the micro-prudential regulations fails to maintain a stable financial system by investigating the impact of micro-prudential regulation on the systemic risk in a cross-sectional dimension. We construct a static model for risk-taking behavior of financial institutions and...

This paper considers three measures of the systemic importance of a financial institution within an interconnected financial system. The measures are applied to study the relation between the size of a financial institution and its systemic importance. Both the theoretical model and empirical...

Internet auctions attract numerous agents, but only a few become active bidders. Under the Independent Private Values Paradigm the valuations of the active bidders form a specific record sequence. This record sequence implies that if the number n of potential bidders is large, the number of...

This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity returns and is applicable to both large and small systems....

Abstract We consider three measures on the systemic importance of a financial institu- tion within a interconnected financial system. Based on the measures, we study the relation between the size of a financial institution and its systemic importance. From both theo- retical model and empirical...

This paper examines the predictive power of weather for electricity prices in day ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices substantially in terms of point forecasts, suggesting that weather...

This paper analyzes the conditions under which a financial institution is systemically important. Measuring the level of systemic importance of financial institutions, we find that size is a leading determinant confirming the usual "Too Big To Fail" argument. Nevertheless, the relation is...