... strategies on firms’ risks. We estimate beta(s) as an index of financial institutions’ systematic risk. We then develop an index of the estimated equity value loss as the long-rum marginal expected shortfall (LRMES). LRMES contributes to compute systemic risk (SRISK) contribution of these firms, which...

... banks Systemic risk Impaired loans Asset quality European banks Europe Bank profitability C33 E44 G21 This study investigates the behaviour of non-performing loans (NPLs), focusing on the relationship between NPLs and the economic cycle for European systemic and non-systemic banks...

... rights only Banks Systemic risk Financial markets and institutions Financial risk and risk management Regulation and industrial policy Allocative efficiency Macroprudential regulation Leverage ratio D61 D62 D82 G21 G28 This paper studies the design of bank regulation...

...Thomas Gehrig; Maria Chiara Iannino Purpose This paper aims to analyze systemic risk in and the effect of capital regulation on the European insurance sector. In particular, the evolution of an exposure measure (SRISK) and a contribution measure (Delta CoVaR) are analyzed from 1985 to 2016...

... investigates the relationship between bank risk and capital using data on 15 Indonesian large banks between 2008 and 2015, using z-score and Delta-CoVaR to measure both idiosyncratic and systemic risks. Findings The empirical investigation suggests that capital has a negative and significant relationship...

... Limited 2017 Emerald Publishing Limited Licensed re-use rights only Central banking Systemic risk Dodd-Frank act Federal reserve Emergency lending Bailouts Lender of last resort Moral hazard E58 G28 We propose to strengthen the Federal Reserve’s ability to lend to non-banks...