Systemic risk
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
Core systemic indicators at HSBC blinked higher in 2020
Underwriting indicator increased over 30%
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
Regional US banks became more systemically risky in 2020
US Bancorp, PNC disclosed an increased reliance on short-term wholesale funding over the year
Deposits boosted top US banks’ short-term funds in 2020
Unsecured funding from outside the financial sector increased 22% to $934.6 billion
Five US systemic banks face higher G-Sib surcharges
JP Morgan to face 4% add-on; Wells Fargo a cut to 1.5%
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
Held in suspense: late futures orders blamed for Covid meltdown
Buy-side use of average pricing contributed to rash of failed trades and give-ups last March
Banks’ borrowings off overseas shadow lenders picked up in Q3
Majority of liabilities are owed non-banks in developed countries
Smaller US banks grew faster than larger rivals in Q3
Lenders less than $1 billion in size increased loans 16% over the quarter
Structural systemic risk: evolution and main drivers
This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies.
Brazil’s BM&F in 1999: a central counterparty near-failure case?
The authors argue that, despite some concerns on systemic risk expressed by high-level Banco Central do Brasil officers, the (potential) defaults of Marka and FonteCindam would not have been sufficient to lead BM&F to a failure.
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
US G-Sibs saw off-balance-sheet exposures fall post-Covid
OBS items now make up less than 18% of total exposures
Underwriting activity of US G-Sibs topped $3 trillion in Q3
JP Morgan increased debt transactions by 41% year-on-year alone
Having cut risk, Wells Fargo may win a lower G-Sib surcharge
The San Francisco-based bank has lowered its systemic risk score through 2020
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
Regulators voice concerns over cloud risk
Risk USA: failure of big cloud service provider could cause “a very large shock”, says NY Fed exec
PNC to be king of US regional banks after BBVA tie-up
Merger unlikely to tip PNC into too-big-to-fail category
Almost G-Sibs: five banks near systemic designation
Chinese banks continue to grow systemic footprints
At global banks, underwriting activity surged in 2019
JP Morgan led the world with €459.3 billion of transactions
Top US banks have become less of a systemic risk, says FSB
JP Morgan relegated as the world’s most systemically important lender
Top US-based foreign banks shrink systemic footprints
US units of Barclays, Credit Suisse and Deutsche Bank have cut assets 40% since Q3 2016