In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Yet jumbo exposures to other banks dominate intra-system assets
Over 90% of top-rated US equity funds have betas greater than one
Ebbing income expectations would erode future capital ratios
UK banks will not be allowed to forget past misdeeds
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
Survey and report: How banks can develop unified finance and risk solutions to drive innovation, operational excellence and productivity
“Unintended and unnecessary” splits in regulation damage financial markets, says FSA’s Ryozo Himino
Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis
This paper analyzes whether in Italy the price of consumer loans is based on borrower-specific credit risk.
Survey of 24 large Apac bank board risk committees shows dearth of risk managers
As the risk function’s influence continues to grow within financial services firms, demand for quality integrated risk data to support a wider range of business-critical decisions is stretching the capabilities of existing technology to breaking point. A…
Quants propose tail risk-sensitive measure for counterparty credit risk
As institutions increasingly focus on streamlining their operations within markets in which they are comfortable and established, BNP Paribas Securities Services is breaking the mould, investing in innovative technologies and making itself seen and heard…
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
Greece remains the country with the highest NPL ratio, at 45%, followed by Cyprus at 34%
Bank equity level increased by $87 billion in the first quarter
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis
In this work, the authors employ the KM–ER algorithm to characterize the internal organization of eMID.
The week on Risk.net, September 1-7, 2018
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.
Better mapping of financial system would help avoid seasonal surprises, argues Andrew Lo