Covid
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
The Covid-19 pandemic and the portfolio diversification effect of catastrophe bonds
The authors delve into catastrophe bonds within an international multiasset portfolio for periods before and during the Covid-19 pandemic, showing how at different times they act as a diversifier and a safe haven.
Leverage ratio reform: the good, the bad and the Treasury
A simple cut would be less likely to stoke interest rate risk than exempting US government bonds
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.
Wait in the Q: US banks hold back on tariff-related provisions
Lack of data on supply chain vulnerabilities creates challenges for early CECL adjustments
Examining intersector risk synchronization in the Indian stock market: evidence from a time-varying connectedness approach
The authors investigate volatility spillover across the Covid-19 pandemic, Russia-Ukraine conflict and the collapse of Silicon Valley Bank and demonstrate how different sectors act as shock absorbers and transmitters.
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
Bowman won’t commit to stress-testing the tariff shock
Nominated Fed vice-chair stonewalls calls to run ad hoc scenario similar to 2020 Covid test
FX liquidity ‘worse than Covid’ amid tariff volatility, dealers say
Available liquidity for single clips dropped to as low as $20 million ahead of tariff pause
Tariff turbulence piles pressure on banks’ VAR models
Backtesting breaches start to mount, but too early to tell if regulatory intervention needed
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched