Using a sample of 3 Icelandic and 153 US banks (8 of which have since failed), we construct a historical VaR framework and discuss the relative thoroughness of market risk management for US and Icelandic firms. The paper seeks to determine the drivers of provisional loan losses (PLL), a...

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk directly, consistent with domestic investors expecting...

We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...