This study continues the author’s examination and forecasts as to the impact of Covid-19 on the US credit cycle after one and a half years since the pandemic first began.
This paper adds to the literature on factors driving distress risk and the economic consequences of economic policy uncertainty, and it provides a basis for enterprises to respond to changes in policies.
Counterparty Radar: Total inflation-receiver positions inched up in Q1, while inflation-paying books leapt 44%
Converging financial and corporate scenarios would provide better data for stress-testing
Economic prediction during a crisis is challenging because of the unprecedented economic impact of such an event, which increases the unreliability of traditionally used linear models that employ lagged data. The authors help to address this challenge by…
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
Set-asides fell 57% quarter on quarter
Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for electricity supply shocks based on a time-varying…
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Credit card losses especially pronounced among regional US lenders
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Real GDP projected to contract –4.3% over three-year scenario horizon
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Decades, not years, of credit losses required for accurate risk modelling, argues expert
Fulcrum Asset Management is running tests to see if fresher data can help improve factor allocations
Techniques include using many datasets, relying on proxies and continually reviewing models
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted