Macroeconomics
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
Macro shocks force risk reset in Asia
Measuring, managing and responding to geopolitical uncertainty and volatility
Playing the yield: rates rev up structured products
Higher government bond yields and steeper forward curves fuel demand for new range of fixed income structures
Deep water waves: accelerating, broadening, consequential
Factors that will impact investment returns over the next decades, the interplay between them and their likely impact on investment outcomes
Incorporating economic outlook into exposure at default models
This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 expectations.
The investors who aren’t fretting over Trump’s stat sulk
Some see dismissal of statistics agency chief as an assault on US institutional integrity; for others it offers a chance to throw off outdated methods
Repricing risk in a global rate reset
Firms are reallocating risk exposure, evolving forecasting models and leveraging deep macroeconomic data to uncover patterns and challenge assumptions
Santander loan portfolio hardest hit in EBA stress test
Simulated credit losses among 64 lenders top €394bn, up 14% from previous exercise
Should the Fed mandate collateral pre-positioning at the discount window?
Supervisor wants banks to be ready to access central bank facilities, but formalising pre-positioning has some drawbacks
Canada Big Five set aside C$1.7bn amid tariff uncertainty
Surge in performing loan provisions pushes allowances past pandemic peak
Capital One, Discover loan portfolios hardest hit in Fed stress test
Simulated losses wipe out more than 1/6th of respective exposures
Covid-induced Eurobonds mark step towards EU financial cohesion
Successful issuance points to greater pan-European sharing of risk
How Argentina’s financial tango could become a dance of death
Central bank and government’s unholy alliance is storing up further trouble for economy
FX options traders rethink vol drivers amid macro uncertainty
Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
The future of capital raising in Asia: inside Crédit Agricole CIB’s client-centric solution offerings
Asia’s fixed income markets represent a pool of prospects in which investors can allocate capital to markets that are relatively isolated from global macroeconomic trends
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans
The authors assess the impacts of financial and macroeconomic factors on financial stability in emerging economies, using Turkey's banking sector in the period 2005 Q1 to 2020 Q3 as their example.
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms