An analysis of the literature on systemic financial risk: A survey
This article presents an analysis of the literature on systemic financial risk. To that end, we
analyze and classify 266 articles that were published no later than September 2016 in the …
analyze and classify 266 articles that were published no later than September 2016 in the …
Macroprudential policy and bank systemic risk
This paper investigates the effectiveness of macroprudential policy to contain the systemic
risk of European banks between 2000 and 2017. We use a new database (MaPPED) …
risk of European banks between 2000 and 2017. We use a new database (MaPPED) …
Sustainability and bank risk
Banks play a key role in society and are crucial for economic development. The existing
literature finds a positive association between bank performance and sustainability, but …
literature finds a positive association between bank performance and sustainability, but …
Measuring systemic risk in the European banking sector: a copula CoVaR approach
We propose a new methodology based on copula functions to estimate CoVaR, the Value-at-
Risk (VaR) of the financial system conditional on an institution being under financial distress …
Risk (VaR) of the financial system conditional on an institution being under financial distress …
Systemic risk and bank size
In this paper we analyse firm level systemic risk for US and European banks from 2004 to
2012. We observe that common systemic risk indicators are primarily driven by firm size …
2012. We observe that common systemic risk indicators are primarily driven by firm size …
Systemic risk in an interconnected banking system with endogenous asset markets
We analyze the emergence of systemic risk in a network model of interconnected bank
balance sheets. The model incorporates multiple sources of systemic risk, including size of …
balance sheets. The model incorporates multiple sources of systemic risk, including size of …
The contribution of large banking institutions to systemic risk: What do we know? A literature review
N Moch - Review of Economics, 2018 - degruyter.com
Against the background of the global financial crisis, we review recent literature on the
debate about “too big to fail”. This is (still) one of the key issues in banking literature since it …
debate about “too big to fail”. This is (still) one of the key issues in banking literature since it …
The determinants of systemic risk contagion
The elevated interconnectedness of the global financial system has resulted in an increased
frequency of financial crises, characterized by the swift transmission of turmoil between …
frequency of financial crises, characterized by the swift transmission of turmoil between …
Systemic risk and bank business models
In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank
(“bank tail risk”) and the link of the bank to the system in financial distress (“systemic …
(“bank tail risk”) and the link of the bank to the system in financial distress (“systemic …
[HTML][HTML] Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience
The Australian financial sector (AFS) is highly concentrated and interconnected. Besides,
Australian banks' lending portfolios are dominated by residential mortgage loans, and 70 …
Australian banks' lending portfolios are dominated by residential mortgage loans, and 70 …