HFT default could destabilise interdealer markets, participants fear
Regulators can monitor a million active trades and hundreds of messages per second in swap test
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Bank’s troubles seen as unlikely to trigger wider banking crisis
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
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
By: Daniel C. Hardy; Philipp Hochreiter
By: Jan Willem van den End, Iman van Lelyveld; Stefan W. Schmitz
“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.