Macroeconomics
Trends in global credit markets: the rise of credit default swap clearing in a shifting landscape
As macroeconomic and geopolitical turmoil continues, credit market participants are increasingly looking to clearing for its risk management capabilities and post-trade efficiencies. With a major shift in the clearing landscape under way, Michael Amakye,…
Macroeconomic exposures of style indexes: what you don’t know could hurt you
Melissa Brown, managing director of applied research at Qontigo, reveals how changes in the macroeconomic environment can influence portfolio risk across a range of investing styles
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
Erste sees provisions rising fourfold in gas embargo scenario
Vienna-based bank wargamed for an unlikely but devastating halt to Russian gas shipments
Amid macro storm clouds, a silver linings playbook for fintech
Banks and VCs believe inflation and rising interest rates will result in winners as well as losers
Empirical research on the relationship between renewable energy consumption, foreign direct investment and economic growth in South Asia
This paper scrutinizes the link between renewable energy consumption, foreign direct investment (FDI) and economic progress in South Asian countries.
Inflation scenarios, pt II: end of the party
Whether inflation rises or falls, crowdsourced scenarios forecast huge range of outcomes
Covid-19 and the credit cycle: 2020 revisited and 2021 outlook
This study continues the author’s examination and forecasts as to the impact of Covid-19 on the US credit cycle after one and a half years since the pandemic first began.
Does economic policy uncertainty exacerbate corporate financial distress risk?
This paper adds to the literature on factors driving distress risk and the economic consequences of economic policy uncertainty, and it provides a basis for enterprises to respond to changes in policies.
Inflation hedges flat among US funds, while payers surge
Counterparty Radar: Total inflation-receiver positions inched up in Q1, while inflation-paying books leapt 44%
Risk managers urge consolidation of climate scenarios
Converging financial and corporate scenarios would provide better data for stress-testing
Using payments data to nowcast macroeconomic variables during the onset of Covid-19
Economic prediction during a crisis is challenging because of the unprecedented economic impact of such an event, which increases the unreliability of traditionally used linear models that employ lagged data. The authors help to address this challenge by…
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for electricity supply shocks based on a time-varying…
Covid scenarios, pt II: apocalypse how?
Second crowdsourced scenario exercise reveals polarised views in equities and FX
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
Fixing the roof while the sun – wait, is that rain?
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.