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
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…