The potential for market discipline of financial firms has attracted increasing attention from
academics and supervisors. Not only have financial economists written numerous papers on …

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 …

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 …

Macroprudential regulation is a set of economic and policy tools that aim to mitigate risk in
the financial and banking systems. It was largely developed in response to the financial …

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 …

В работе рассматриваются причины отзыва лицензий российских банков в период со 2
квартала 2005 г. по 4 квартал 2008 г. В этот период, последовавший за введением …

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 …