In this paper, the authors present new evidence on the structure of euro area securities markets using a multilayer network approach.
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
Supervisor says bulk of outstanding problems for largest banks concern governance and controls
JP Morgan could be in higher G-Sib bucket with cap removed
Trading and available-for-sale assets dropped €160 billion year-on-year
Prospective leverage ratio should fall to 3.75% after risk-cutting efforts
The bank’s total exposures climbed 2.4% to €931 billion year-on-year
Eight countries have increased their CCyB year-to-date
Former regulators say FSOC may struggle to measure systemic risk in repo, loan markets
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Increase takes effect from July 2020
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
Iceland, Bulgaria and France have also increased add-ons year-to-date
In total, EU states hiked CCyB rates 13 times last year, up from six in 2017
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club
The once-largest bank in the world is no longer considered a systemic threat
42.5% of largest banks branded less-than-satisfactory by RFI ratings
In this paper, the authors develop an early warning system for forecasting a financial crisis of the magnitude of the 2007–8 crisis for the European Union (the EU14).
Swedish banks now subject to highest add-ons among European Union lenders
Minimum capital requirement will rise around 20 basis points at BPCE; 16 at Crédit Agricole
0.25% surcharge the lowest of nine CCyBs across member states
Bank has leveraged CCAR to build culture of constant internal stress testing, says Brad Hu
Recent guidance on stress-test models could be expanded, says BoE exec