In this paper we propose a framework for measuring and stress testing the systemic risk of a
group of major financial institutions. The systemic risk is measured by the price of insurance …

We adopt a systemic risk indicator measured by the price of insurance against systemic
financial distress and assess individual banks' marginal contributions to the systemic risk …

European banks became a source of risk to global financial markets during the financial
crisis and attention to the European banking sector increased during the sovereign debt …

This paper measures the systemic risk of a banking sector as a hypothetical distress
insurance premium, identifies various sources of financial instability, and allocates systemic …

Seit Erscheinen der vorigen Auflage ist die Flut an neuen Regulierungsvorschriften nicht
zum Stillstand gekommen. Die Regelungsinhalte sollen nach wie vor zahlreiche Defizite, die …

This study investigates how insurers contribute to systemic risk in the global financial
system. In a modeling framework embracing publicly traded and nonpublic firms, the …

We study investor redemptions and portfolio rebalancing decisions of prime money market
mutual funds (MMFs) during the Eurozone crisis. We find that sophisticated investors …

Global risk maps are unified databases that provide risk exposure data to supervisors and
the broader financial market community worldwide. We think of them as giant matrices that …

Why should risk management systems account for parameter uncertainty? In addressing this
question, the paper lets an investor in a credit portfolio face non-diversifiable uncertainty …

We study a structural model of individual bank defaults across the banking sector; banks are
interconnected through their exposure to a common risk factor. The paper introduces a …