Procyclicality
EU countries accelerate countercyclical buffer increases
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club
CECL fans and foes cross swords on Capitol Hill
Dispute over economic impact rages on despite agreement on capital relief
Lower margin can fuel procyclicality in CCPs – research
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
Denmark, Sweden hike countercyclical buffers
Swedish banks now subject to highest add-ons among European Union lenders
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
Lehman’s ghost: how three CCPs anchor models to crash
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Crédit Agricole and Groupe BPCE hardest hit by countercyclical buffer
Minimum capital requirement will rise around 20 basis points at BPCE; 16 at Crédit Agricole
French countercyclical buffer lowest in EU
0.25% surcharge the lowest of nine CCyBs across member states
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