Systemic risk
Clearing portability under threat as FCM pool shrinks
Failure of big clearing brokers could see clients unable to move to stable competitors
Standardized measurement approach: is comparability attainable?
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
Asset correlations and procyclical impact
The authors examine the behavior of asset correlations for companies in Taiwan under the Basel Accord’s asymptotic single-risk-factor approach.
Basel III has aided system stability, interbank models suggest
Model predicts future crashes will not be total wipeout
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Closer ties between banks could mean more risk-taking
Model points to risks of core-periphery structure
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows
Trump victory raises questions over future of FSOC
Risk USA: Former FSOC official cautions against scrapping supervisory council
Clamour grows for US Treasuries clearing mandate
HFT default could destabilise interdealer markets, participants fear
Banks test blockchain potential for real-time market surveillance
Regulators can monitor a million active trades and hundreds of messages per second in swap test
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Asset managers sanguine on Deutsche Bank woes
Bank’s troubles seen as unlikely to trigger wider banking crisis
IMF's systemic risk findings called into question
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
Connecting the dots: how DTCC manages contagion risks
DTCC CRO Andrew Gray offers a template for managing the risk of interconnectedness
The econometrics of Bayesian graphical models: a review with financial application
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
SEC prepares Dodd-Frank buy-side stress tests
Asset manager stress tests aim to measure fund liquidity and contagion risks
Vickers renews call for greater focus on bank equity
Bank of England overconfident on resolution and counter-cyclical buffer, ICB head says
DTCC coaxing HFTs to become clearing members
US Treasuries CCP concerned about contagion risk threat to existing members
A network-based method for visual identification of systemic risks
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.