Systematic risk
BoE official signals tough stance on CCP skin in the game
Default waterfalls must include a second tranche of CCP capital, says Cunliffe
Top Fed watchdog supports non-bank Sifi designation
Vice-chair Barr complains regulators lack “even basic data” on some areas of shadow banking
How a credit run affects asset correlation
This paper analyzes how soaring demand in the lending market shortly before a financial crisis can affect one of the main parameters in the internal ratings-based approach: the asset correlation.
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Stablecoins’ would-be lawgivers don’t know what they’re missing
Bills in US Congress focus on run risk, but more detail needed on operational challenges
Are there multiple independent risk anomalies in the cross section of stock returns?
Using multivariate portfolio sorts, firm-level cross-sectional regressions and spanning tests, this paper shows that, in the cross section of stock returns, most commonly used risk measures in academia and in practice are separate return predictors with…
US prime fund swing pricing proposal sparks industry alarm
Some fear SEC rule would repel investors; high liquidity requirements could make funds uneconomic
Archegos shows up US swaps reporting shambles
Problems with existing data mean SEC’s pending TRS reporting rules won’t bring the issue to order
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
Regulators seek harmony on op resilience rules
Alignment on principles needed “in short order”, says Basel working group chair
Benchmarking loss given default discount rates
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
BAML exec fears ‘systemic risk’ if margin issue not resolved
Regulators urged to make swift decision on exempting small end-users
Regulatory merger keeps China on course for deleveraging
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
Systematic risk and yield premiums in the bond market
This paper develops a method for estimating the full systematic risk of bonds and thereby enables a fuller understanding of the risk and return on fixed-income instruments.
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Risk assessment warning for medium-term investment horizons
Such hedge funds cannot be assessed just by data
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…