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
By: Manmohan Singh
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.