In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
This paper develops a block-structured model for the reconstruction of directed and weighted financial networks spanning multiple countries.
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Nordea’s underwriting activity jumped by almost 7,000% in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
Losses from held-for-trading balance sheet would wipe out fair value book gains
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
This paper proposes three modifications to two well-established measures of systemic risk, SRISK and CoVaR.
Sources report ebullient growth among PoPs, despite lingering wariness around risk redistribution
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
BNY Mellon extended its lead over State Street and JP Morgan in the second quarter
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Converging financial and corporate scenarios would provide better data for stress-testing
US banks are taking the Fed for a ride – it’s time to address the issue
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
Both banks could face an extra 50 basis points of capital add-on without remedial action
Spotting systemic risk from OTC swaps requires cross-border access to derivatives data
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
Underwriting indicator increased over 30%
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.