Systemic risk
Bank investors still don’t think bail-in will happen, FSB told
Questions over bailing in bank bondholders mean problem of too big to fail persists, experts warn
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Detecting changes in asset co-movement using autoencoders
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Esma’s move on hedge fund leverage worries industry
Critics say proposed guidelines rely on patchy data and inconsistent calculations
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
Esma calls for full audits of cloud providers
Regulator says firms must negotiate access rights to books and premises of providers
Cash flood expanded systemic footprint of top US banks
Intra-system liabilities up 26% in Q1
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
Of rats and men: would member compensation imperil CCPs?
CCPs and members split over whether compensation after default losses is moral hazard or fair
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
EU insurers increase derivatives holdings
Greater interest rate swap values push up interconnectedness risk of insurance sector
Supervisory stress testing for central counterparties: a macroprudential, two-tier approach
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
UK firms lead in cross-border loans to shadow banks
Entities based in the UK had 20% of outstanding global loans to non-banks
Credit assets of non-banks top $44trn
Hedge funds increase loan and bond holdings the most of shadow-banking entities