This paper proposes a component approach to systemic risk which allows to decompose the
risk of the aggregate financial system (measured by Expected Shortfall) while accounting for …

We derive several popular systemic risk measures in a common framework and show that
they can be expressed as transformations of market risk measures (eg, beta). We also derive …

We analyze the determinants of the contribution of international banks to both global and
local systemic risk during prominent financial crises. We find no empirical evidence …

This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for
identifying/ranking systemically important institutions. We develop a test of significance of …

The experience from the global financial crisis has raised serious concerns about the
accuracy of standard risk measures as tools for the quantification of extreme downward …

The analyses of intersectoral linkages of Leontief [The Structure of the American Economy:
1919–1929, 1941] and Hirschman [The Strategy of Economic Development, 1958] provide a …

Systemic risk from financial intermediaries (FIs) refers to a negative externality problem,
which is rife with fallacy of composition-type errors. To 'see'why seemingly rational …

This paper motivates the importance of modeling nonlinearities in measuring systemic risk. I
capitalize this motivation by generalizing the CoVaR approach proposed by Adrian and …

The aim of this work is to assess systemic risk of Tunisian listed banks. The goal is to identify
the institutions that contribute the most to systemic risk and that are most exposed to it. We …

We propose a bootstrap-based test of the null hypothesis of equality of two firms' conditional
risk measures (RMs) at a single point in time. The test can be applied to a wide class of …