Systemic risk
JP Morgan CRO: CCPs need extra tail-risk buffers
Bail-in capital would help avoid contagion, says JPMorgan Chase's Ashley Bacon, in an interview with Risk.net
Fishing for Sifis: row over Nobel laureate’s risk model
Engle’s tool for ranking risky firms is one of many that are dividing industry, academics and regulators
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
IMF ‘wrong’ to label Deutsche world’s riskiest bank
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
Crisis alert: new model aims to give early warning of downturn
Academics say tool could offer policymakers up to three years’ notice of impending crash
Fed supervisor presses banks to address CCP exposures
Regulator says more information is needed to fully understand the risk of cleared trades
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
US Treasury hands CCP resolution powers to FDIC
Mnuchin regulatory review explicitly refers to FDIC as receiver under a Title II resolution
Systemic risk management in financial networks with credit default swaps
In this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks.
US blocking new list of global too-big-to-fail insurers
US wants designation suspended until new, activities-based approach is ready
Behavioral risks at the systemic level
By comparing the Libor and FX benchmark manipulation scandals, this paper describes how misbehavior emerged independently in both of these markets and the conditions that permitted the misconduct to survive and thrive.
CDS surcharge touted to aid systemic stability
Charges would encourage systemic banks to buy protection from less significant players
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Twin member default would hit up to 23 CCPs
New FSB analysis reveals interdependencies of clearing system
US dealers wade into European CCP relocation debate
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
Canadian CROs play down threat of mortgage exposure
Burgeoning loan portfolios no cause for concern despite Moody’s downgrades, risk chiefs claim
New light cast on shadow bank risk
PLS-SEM model could test assumptions on shadow banks’ risk role
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
BrokerTec dominance ‘unhealthy’, says Nasdaq’s Shay
More clearing needed to improve US Treasury competition
Regulators told to play greater role in cyber security
Companies can’t battle threats on their own, CFTC told
Madness in the method: Basel grapples with G-Sib riskometer
Some experts warn the methodology to identify systemic banks could increase systemic risks
Keeping faith: IAIS rebuffs view G-Sii concept will die
But firms see workplan announcement as step away from focus on high-risk entities