Data shows removal of cap on substitutability in revised methodology would hit four banks
More clearing needed to improve US Treasury competition
Companies can’t battle threats on their own, CFTC told
Some experts warn the methodology to identify systemic banks could increase systemic risks
But firms see workplan announcement as step away from focus on high-risk entities
Designation process criticised at House hearing; senators call for review
BoE, BaFin and CFTC move signals concern over whether client positions can be moved between banks in a crisis
How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
In this paper, the authors study the stability of the interbank market to exogenous shocks using an agent-based network framework.
Failure of big clearing brokers could see clients unable to move to stable competitors
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
The authors examine the behavior of asset correlations for companies in Taiwan under the Basel Accord’s asymptotic single-risk-factor approach.
Model predicts future crashes will not be total wipeout
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Model points to risks of core-periphery structure
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
Framework could answer many questions economists have struggled with in recent years
Bank networks evolve to be liquid but unstable, new research shows
Risk USA: Former FSOC official cautions against scrapping supervisory council
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