Contagion
CCPs trade blows over EU’s new open access push
Cboe Clear wants more interoperability; Euronext says ‘not with us’
BoE plans to link system-wide and individual stress tests
Meanwhile, ECB wants to broaden system-wide stress models to include central counterparties
Eleven of 14 G-Sib indicators hit all-time highs
Surging complexity marked 2023, tempered by slower gains overall
Fed needs to fix discount window op risk – ECB official
Suggests the BTFP might have been unnecessary if existing US facility was more reliable
Esma pledges faster approvals for CCP margin model changes
Löber says regulatory sign-off on small model changes should take just three weeks under Emir 3.0
Interbank lending plummets at major European banks
Reduced repo operations and TLTRO repayments among drivers
Latest FDIC special assessment tougher than 2009 version
Most US banks face higher toll under new methodology
The validation of different systemic risk measurement models
The authors incorporate a capital buffer to the DebtRank model and use data from China's banking industry to compare the proposed model with others.
The tweet and the trust collapse: how banks can fall on a dime
In March’s market contagion, experts see lessons in the rapid erosion of confidence
Stablecoins: good as the buck, or breaking the buck?
Collateral concerns and iffy auditing have raised fears of a ‘de-pegging’ event – and possible contagion across crypto and beyond
A block-structured model for banking networks across multiple countries
This paper develops a block-structured model for the reconstruction of directed and weighted financial networks spanning multiple countries.
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
This paper proposes three modifications to two well-established measures of systemic risk, SRISK and CoVaR.
On modeling contagion in the formation of operational risk loss
This paper models an overall operational risk loss caused by the accumulation of intermediate losses incurred at each process via a mechanism of network contagion across distinct processes within the boundary of a bank.
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
Structural systemic risk: evolution and main drivers
This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies.
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis