Covid
BoE analysis sparks debate over reuse of repo collateral
Central bank policy analyst contends reuse of collateral may amplify volatility in repo rates
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
The power of neural networks in stochastic volatility modeling
The authors apply stochastic volatility models to real-world data and demonstrate how effectively the models calibrate a range of options.
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead