Technical paper/Regulation
The implications of extraordinary speed in contemporary financial markets trading
This paper shows how high-frequency traders cancel many trading orders within 20 milliseconds of submission and proposes batch auctions to mitigate queuing risk for high-frequency traders.
Bonus caps and bankers’ risk-taking
The authors investigate the relationship between bankers' risk-taking and bonus caps, finding negligible evidence that bonus caps reduce risk taking at the median bank.
Unraveling Lebanon’s financial crisis: the path from promise to peril, delving into a risk strategist’s own experience
The author investigates the causes of Lebanon's financial crisis which began in 2019 and puts forward suggestions with which to restore trust and stability.
A qualitative study of operational resilience in financial institutions
The authors analyze data from a qualitative survey of senior G-SIB employees to identify recommendations for organisations looking to improve their operational resilience.
US regional banks: challenges and opportunities
The authors investigate the 2023 run on US regional banks, comparing the solvency and regulation of these banks with European counterparts.
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
Technology risk management in fintech: underlying mechanisms and challenges
This study focuses on the foundational technology of fintech to address the challenges posed by its specific form of risk.
Dynamics of biofuel prices on the European market: the impact of EU environmental policy on resources markets
This paper explains the major drivers of biodiesel market prices by examining agricultural resource prices and gasoil prices for automotive fuels in the context of European Union environmental policy.
Central counterparty capital and nondefault losses
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
An empirical analysis of the Brazilian Transmission Service Operators incentive regulation
In this paper, we analyze the results of incentive regulation for Brazilian transmission companies regarding operational costs.
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Supervisory stress testing for central counterparties: a macroprudential, two-tier approach
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
Model risk tiering: an exploration of industry practices and principles
This paper seeks to shed light on one critical area of such frameworks: model risk tiering, or the rating of risk inherent in the use of individual models, which can benefit a firm’s resource allocation and overall risk management capabilities.
Who pays? Who gains? Central counterparty resource provision in the post-Pittsburgh world
In this paper, the authors develop a conceptual framework to examine whether the regulatory changes since the Pittsburgh Summit could be a catalyst for reconsidering the structure of clearing houses.
Benefits and risks of central clearing in the repurchase agreement market
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.