After the great financial crisis of 2007–2009, central banks were handed a macroprudential
mandate to contain systemic risks, a mandate seen as endangering their independence due …

With the introduction of Basel II in 2004,“market discipline” became one of the Basel
Committee's three pillars of prudential regulation. Although many academic papers have …

To accurately measure the dynamic characteristics of systemic risk contagion under the
impact of extreme financial events, we construct a research framework that analyzes the …

In this paper, we propose a procedure that generates measures of connectedness between
individual firms and for the system as a whole based on information observed only at the firm …

Abstract Based on Contingent Claims Analysis, this paper develops a method to monitor
systemic risk in the European banking system. Aggregated Distance-to-Default series are …

During the recent financial crisis, many large banks' losses were absorbed by their
sponsoring governments, despite the fact that these banks complied with Basel standards …

Over the past two decades, Germany experienced several periods of banking system
instability rather than full-blown banking system crises. In this paper we introduce a …

This paper explores the impact of market discipline on bank risk taking. We examine a broad
sample of financial institutions from the G7 nations over the period 1996–2010. We apply …

Bank supervisors utilize early warning signals to predict which banks are likely to become
distressed. Previous research has found that market discipline signals do not significantly …

Frühwarnindikatoren für das deutsche Bankensystem: Eine makroprudenzielle Analyse
Frühwarnindikatoren für drohende Risiken im Bankensystem sollen einen wichtigen Beitrag …