Systemic risk
Systemic risk: Fed methodology out of sync with Basel’s
Different inputs and calculator formulae pose dual test to US banks
Morgan Stanley cleared swaps jump 9% in Q3
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
HSBC leads systemic banks in cutting derivatives exposures
On aggregate, the top 30 banks shrunk notionals by 7% year on year
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
BoComm, Nomura and Citic near G-Sib designation
Dealers could all become members of the club next year if trend continues
Substitutability cap spares JP Morgan higher capital add-on
Three other US banks – BNY Mellon, Citi and State Street – also hit the cap in this year’s G-Sib assessment
JPM, BNP Paribas and Goldman hit with higher capital surcharges
Banks slapped with extra 50 basis points of capital add-on
State Street shrinks gap in the custody assets race
Boston-based bank reports largest quarterly increase among top US custodians
Time-varying tail dependence networks of financial institutions
In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
A block-structured model for banking networks across multiple countries
This paper develops a block-structured model for the reconstruction of directed and weighted financial networks spanning multiple countries.
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
This paper proposes three modifications to two well-established measures of systemic risk, SRISK and CoVaR.
PoP goes FXPB: prime of prime fizzes, but isn’t to all tastes
Sources report ebullient growth among PoPs, despite lingering wariness around risk redistribution
End of SLR relief weighs on JP Morgan
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
Custody banks add $6.5 trillion assets
BNY Mellon extended its lead over State Street and JP Morgan in the second quarter
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements