Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
DTCC CRO Andrew Gray offers a template for managing the risk of interconnectedness
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
Asset manager stress tests aim to measure fund liquidity and contagion risks
Bank of England overconfident on resolution and counter-cyclical buffer, ICB head says
US Treasuries CCP concerned about contagion risk threat to existing members
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
Concerns about systemic risk unjustified, say asset managers
Growing awareness of endogenous risk raises difficult questions about too-big-to-fail approach
Regulatory agenda shifting to systemic risk of herding
Industry and regulators at loggerheads over pro-cyclicality
“You can imagine a world where you don’t need clearing houses,” says senior banker
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
Latest review identifies two ‘medium-level systemic risks’ to eurozone
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
Institutions designated as O-Siis will be expected to produce resolution plans