Financial stability
Stress testing household debt
The authors estimate a county-level model of household delinquency and use it to conduct “stress tests” of household debt.
EU’s dividend ban overshadows reform effort
Banks may be reluctant to run down buffers even if regulators soften the MDA threshold for payouts
Regulators seek harmony on op resilience rules
Alignment on principles needed “in short order”, says Basel working group chair
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
The top risk management trends in the Asean region
Setting the scene in preparation for the Risk Asean conference in October, a group of industry experts debate and discuss the top trends in risk management the Asean region will need to look out for in 2021 and beyond
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Imperfect balance? Clearers weigh EU’s CCP resolution tools
Potential levels of loss mutualisation under EU rules are unnerving some clearing members
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Libor Risk – Quarterly report Q2 2020
Detaching an estimated $350 trillion of financial contracts from Libor was always going to be an uphill struggle. For a rump of so-called “tough legacy” contracts it’s a near impossible task. Now their future lies in the hands of legislators
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Central counterparty auction design
The authors analyze the role of auctions in managing the default of a central counterparty’s clearing member.
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
BoE and ECB weigh calls to follow US lead on capital relief
European regulators face pressure to exempt sovereign exposures from leverage ratio
Op risk data: Outsourcing losses loom in lockdown
Also: Swedbank hit with huge AML fine; record Russia fine for StanChart. Data by ORX News
‘Ostrich approach’ to financial stability is a mistake
Denmark’s top supervisor says scaling back IFRS 9 would be a costly error
Pre-cessation Ibor picture gets clearer
As the derivatives market has accepted the impending transition away from interbank offered rates, attention has turned to how best to manage it. Philip Whitehurst, head of service development, rates at LCH, explores how the clearing house is working…
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Near-real-time monitoring in real-time gross settlement systems: a traffic light approach
This paper develops a method to identify quantitative risks in financial market infrastructures (FMIs) that is inspired by the Principles for Financial Market Infrastructures.
Leaked email reveals new assault on CCP open access rules
Largest group in European Parliament wants to shoehorn delay into crowdfunding legislation
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
Navigating the impact of climate risk on financial stability
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
Debt and the oil industry: analysis on the firm and production level
This paper analyzes the relationship between debt and the production decisions of companies active in the exploration and production of oil and gas in the United States.