Financial crisis
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided
The challenges of standardised credit risk assessments for banks under Basel III
A white paper addressing the challenges of standardised credit risk assessments (SCRA) for bank exposures under Basel III, including changes to risk-weighted assets and SCRA implementation
US election a ‘classic inflection point’ – Rory Stewart
Risk Live: Podcaster and former politician talks geopolitical risk and UK politics in keynote speech
Reframing the Fed’s discount window
Funding window incentives and collateralised credit lines could transform bank liquidity in a crisis, argues Bill Nelson
Bank credit risk: how well do you know your counterparties?
As financial markets evolve, evaluating the complex credit risk exposures of non-bank counterparties is crucial for effective risk management, says Quantifi’s Dmitry Pugachevsky
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
On the contagion effect between crude oil and agricultural commodity markets: a dynamic conditional correlation and spectral analysis
The authors present an empirical study concerning the volatility comovements between crude oil and agricultural commodities relative to global economic shocks such as Covid-19 and the Russo-Ukrainian war.
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
New developments in XVA: bank strategy in a changing world
Derivatives valuation has grown in complexity since the the financial crisis that began in 2007–08. It now encompasses a broader range of risk factors, including credit, funding, margin and capital – all of which can affect banks’ competitiveness and…
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Understanding and predicting systemic corporate distress: a machine-learning approach
The authors construct a machine-learning-based early-warning system to predict, one year in advance, risks of systemic distress and demonstrate factors which can predict corporate distress.
In a downturn, mitigation beats litigation every time
Economic shocks increase op risks for banks, but institutions can take steps to limit the danger
The tweet and the trust collapse: how banks can fall on a dime
In March’s market contagion, experts see lessons in the rapid erosion of confidence
Banks in crisis
The peak of the global financial crisis arrived in 2008 with the collapse of Bear Stearns and Lehman Brothers, and a raft of bailouts. However, it had already been rumbling on for a year at that point, blowing holes in bank funding models and capital…
Value-at-risk models: a systematic review of the literature
The authors conduct a systematic literature review of value-at-risk models to determine which models are most often used and whether any change in model popularity occurred after the 2007-9 financial crisis.
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
Managerial connections and corporate risk-taking: evidence from the Great Recession
Using the the 2007-9 Great Recession as an example, the authors investigate the relationship between managers’ connections, corporate risk-taking and corporate performance during a period of crisis.
Value-at-risk and the global financial crisis
The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…