Procyclicality
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
Insurance experts downplay fears about risk margin
BoE paper’s prophesies of lower investment and thinner liquidity are too dramatic, specialists think
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
CCP margining not procyclical, research suggests
Excess collateral acts as buffer in 10 years of data at unnamed CCP
Lower UFR would be dangerously pro-cyclical – Bafin
Solvency II rate cut would crowd insurers into long-dated assets, says insurance chief
ESRB's buffer plan would worsen systemic risk – insurers
Industry and regulators at loggerheads over pro-cyclicality
UK insurance association slams ESRB report
'Very poorly timed' paper misses the point on pro-cyclicality, says ABI’s head of regulation
EBA: banks must fill resolution fund but support can fluctuate
Time-varying contributions would mitigate pro-cyclicality
BoE group kicks off procyclicality debate
Group led by Andrew Haldane opens debate on effects of insurance regulation
Policy-makers urged to widen scope of matching adjustment 'for good of society'
Current proposals would transfer risk to consumers and increase price of guarantees, argues consultancy
Use of PIT model neutralises impact of counter-cyclical capital buffer
Banks using a PIT model instead of a TTC model may receive a capital saving for the Basel III counter-cyclical capital buffer but such an approach might not be viewed as within the spirit of the rules by regulators
The myths and truths about Basel II cyclicality
The myths and truths about Basel II cyclicality
Is the counter-cyclical toolbox incomplete?
Is the counter-cyclical toolbox incomplete?
Regulators struggle to tackle pro-cyclicality
Tackling pro-cyclicality
Tackling pro-cyclicality in banking regulation
Addressing pro-cyclicality
Basel Committee stalls on key element of counter-cyclical plans
Market participants cast doubt on the collective strength of multiple measures to mitigate pro-cyclicality in Basel III.
Scor looks to Solvency II
Philippe Trainar, chief risk officer at Scor, talks to Alexander Campbell
Basel Committee counter-cyclical proposals tie buffers to economic indicators
Committee publishes paper on counter-cyclical capital and defers recommendations on Basel III to oversight board meeting on July 26
Dampening pro-cyclicality in margin
The Committee on the Global Financial System has released a proposal recommending changes to dampen pro-cyclicality in margin practices and haircuts for securities financing and over-the-counter derivatives. How could this affect collateral management…
Through-the-cycle haircut in securities financing likely, says senior regulator
Supervisors look to keep a firmer grip on securities lending haircuts to prevent asset bubbles from forming.
A variable response
Ensuring banks put in place counter-cyclical capital buffers has become a key area of focus for regulators across the globe, with some proposing capital cushions be based on financial or macro variables. Alessandro Conciarelli and Mario Quagliariello disc