Systemic risk
PNC to be king of US regional banks after BBVA tie-up
Merger unlikely to tip PNC into too-big-to-fail category
Almost G-Sibs: five banks near systemic designation
Chinese banks continue to grow systemic footprints
At global banks, underwriting activity surged in 2019
JP Morgan led the world with €459.3 billion of transactions
Top US banks have become less of a systemic risk, says FSB
JP Morgan relegated as the world’s most systemically important lender
Top US-based foreign banks shrink systemic footprints
US units of Barclays, Credit Suisse and Deutsche Bank have cut assets 40% since Q3 2016
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Credit swap portfolios contracted at systemic US banks in Q2
Sold notionals fell 8% over the three months to end-June
Systemic banks’ leverage exposures gyrated over H1
Temporary relief measures held down growth of exposures at US, Swiss lenders
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter
US bank systemic risk indicators stay elevated through Q2
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms
Bank investors still don’t think bail-in will happen, FSB told
Questions over bailing in bank bondholders mean problem of too big to fail persists, experts warn
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Detecting changes in asset co-movement using autoencoders
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Esma’s move on hedge fund leverage worries industry
Critics say proposed guidelines rely on patchy data and inconsistent calculations
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size