Systemic risk
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Barclays trims connections to other financial firms
Intra-financial system assets and liabilities drop 19.6% and 13.5%, respectively
Trade data initiatives aim to unify regulatory reporting
Standardised data would improve systemic risk monitoring and save firms billions, say data engineers
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Credit Suisse bolsters liquidity buffers
LCR reinforced in response to choppy markets
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Credit Suisse sheds $11bn in op risk RWAs
Regulator allowed Swiss bank to cut op risk exposure from defunct business
The CoCVaR approach: systemic risk contribution measurement
In this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.
Bank of Japan cautions on low loan-loss reserves
Lenders vulnerable to reverse in benign economic conditions
Custody surge could be precursor to capital pain
BNY and State Street assets hit new record, as Basel consider G-Sib changes
Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing
This paper illustrates how the transmission of systemic risk from shadow banking to the regulated banking sector can be modeled using partial least squares structural equation modeling in an effort to help regulators better monitor and manage contagion.
Systemic rules for insurers and funds should be mutually coherent
Leverage and liquidity risks are common to both sectors, says IAIS chair Victoria Saporta
New BoE stress test puts focus on banks critical to UK
Annual test will attempt to gauge impact of IFRS 9
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
Identifying complex core–periphery structures in the interbank market
This paper proposes a framework to identify the structure of a financial network and its evolution over time, and presents an application to an interbank market with complete actual data.
JP Morgan urges clients to compress over G-Sib fears
Bank trying to mitigate impact of draft Federal Reserve rule change on clearing business – others are said to be doing the same
DTCC set to cut US Treasury clearing fees
Revised fee structure could prompt more firms to participate in clearing
SEC approves DTCC’s $74bn liquidity facility
Proposal faced opposition from smaller broker-dealer members of US Treasuries CCP
JP Morgan’s CRO on the bank’s six buckets of risk
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it