This paper develops a framework for the short-term modelling of market risk and shock
propagation in the investment funds sector, including bi-layer contagion effects through …

Within Europe, investment funds are more exposed to climate-sensitive economic sectors
than banks, insurers, and pension funds. However, few climate-related financial risk …

In today's interconnected commodity markets, understanding volatility spillover dynamics is
crucial. This research builds on Diebold & Yilmaz (2012, 2014) to estimate System …

Abstract Theory posits that financial intermediation (FI) spurs economic growth and supports
financial system stability by reducing informational asymmetries and agency problems. Most …

We provide a simple and tractable accounting-based stress-testing framework to assess loss
dynamics in the banking sector, in a context of leverage targeting. Contagion can occur …

We examine how financial integration affects financial stability and what government
intervention maximizes stability and well-being, in a setup where depositors can obtain …

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for
financial contagion induced by the market price impact of asset deleveraging. We introduce …

In this cover paper, we introduce a Special Issue (SI) published after the fourth edition of a
series of financial stability conferences organized by Bank of Mexico, CEMLA, Bank of …

Borrowing and lending between banks and firms is the main channel of financial risk
propagation, and there have been a number of studies on risk propagation and identification …

The article discusses the importance of developing a system-wide stress testing framework
for a comprehensive assessment of financial stability risks. It analyses the impact of a severe …