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.
Buy-side use of average pricing contributed to rash of failed trades and give-ups last March
Majority of liabilities are owed non-banks in developed countries
Lenders less than $1 billion in size increased loans 16% over the quarter
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.
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.
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
OBS items now make up less than 18% of total exposures
JP Morgan increased debt transactions by 41% year-on-year alone
The San Francisco-based bank has lowered its systemic risk score through 2020
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
Risk USA: failure of big cloud service provider could cause “a very large shock”, says NY Fed exec
Merger unlikely to tip PNC into too-big-to-fail category
Chinese banks continue to grow systemic footprints
JP Morgan led the world with €459.3 billion of transactions
JP Morgan relegated as the world’s most systemically important lender
US units of Barclays, Credit Suisse and Deutsche Bank have cut assets 40% since Q3 2016
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Sold notionals fell 8% over the three months to end-June
Temporary relief measures held down growth of exposures at US, Swiss lenders
Outstanding amounts fall 12 quarter-on-quarter
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms