We propose the realized systemic risk beta as a measure of financial companies'
contribution to systemic risk, given network interdependence between firms' tail risk …

In this paper we propose an empirical methodology to measure systemic risk. Building upon
Acharya et al.(2010), we think of the systemic risk of a financial institution as its contribution …

A framework for macroprudential regulation that defines systemic risk and macroprudential
policy, describes macroprudential tools, and surveys the effectiveness of existing …

This paper discusses different definitions of systemic risk and identifies the challenges,
which regulators face in addressing this phenomenon. We conducted a systematic literature …

This paper estimates and compares two groups of high-frequency market-based systemic
risk measures using European and US interbank rates, stock prices and credit derivatives …

We investigate why some banks are more exposed and contribute more to systemic risk in
the global financial system than others. On average, European banks contribute more to …

Financial regulation has entered into a new era, as many foundational economic theories
and policies supporting the existing infrastructure have been and are being questioned …

We evaluate the impact of commonly used indicators of bank distress on broad (ie sector
and country) risks. This issue deserves special attention in the banking industry where there …

We study the exposure and contribution of 253 international life and non-life insurers to
systemic risk between 2000 and 2012. For our full sample period, we find systemic risk in the …

Foreign currency loans to the unhedged non-banking sector are remarkably prevalent in
Europe and create a significant exchange-rate-induced credit risk to European banking …