Systemic risk
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
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