risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been … Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance …

The central problem for financial regulation is reducing systemic risk. Systemic risk is the risk that the failure of … paper addresses the five most important policies for dealing with systemic risk: the imposition of capital requirements, the … related limitations on bank size would not reduce systemic risk …

In this paper we study systemic risk for North America and Europe. We show that banks' exposures to common risk factors … are crucial for systemic risk. We come to this conclusion by first showing that relations between North American and … financial crisis than North American ones. Regarding the consequences of systemic risk, we show that dependence between the …

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

at all differ depending upon the macroeconomic climate. We calculate the systemic risk measures of MES, SRISK, NSRISK … as well as contribution to systemic risk. We then conduct difference-in-differences analysis utilizing a non …-merging control group to determine whether the change in these risk metrics is truly unique to the merging banks. For MES, NSRISK, and …

What is the impact of policy interventions on the systemic risk of banks? To answer this question, we analyze a …-affected European banks between 2005 and 2014. We find a positive and significant association of 'guarantees' with systemic risk, which … different for large banks. 'Liquidity injections' are similarly positively linked with systemic risk, but the long run effect is …

This paper examines the relationship between systemic risk measures across 546 financial institutions in major … conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a … improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …