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
Critics of the Basel Committee’s Fundamental Review of the Trading Book are wrong, write John Beckwith and Sanjay Sharma
Financial regulation should be adaptive, not reactive, argues Andrew Lo
Total term debt issuance is around 60% higher this year to date than at the same points in 2016 and 2017
Extraterritorial reach is not new to region, but EU Benchmarks Regulation poses real risks
Surplus of assets over liabilities increased 17% in the year – BIS data
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Flexibility and a pragmatic approach puts Kairos Investment Management in a strong position for the future
After suffering a loss of more than 40% of assets under management during the financial crisis, Kairos Investment Management has recovered and – employing a virtually unchanged team – is building on the foundations previously put in place by taking a…
With the swing towards customisation expected to gather momentum in 2018, flexiblity and responsiveness to clients’ needs are increasingly important. Deutsche Bank is well positioned to assist its clients, improving their agility and flexibility with the…
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
'Social collateral' collapsed during 2008 crisis, finds Swiss National Bank paper
US industry association criticises official analysis suggesting optimal Basel ratios of up to 26%