Systemic risk
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
The special one: a eurozone G-Sib waiver for BNP Paribas
Experts say French bank’s G-Sib buffer could fall to 1%, saving €3 billion in regulatory capital
Chinese banks pose increased risk to euro area – ECB
Growing number of Chinese lenders designated as systemically important
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
US bank swaps books rebound after G-Sib reckoning
Total OTC derivative notionals across eight G-Sibs grow $28 trillion in first quarter
Goldman, JP Morgan get riskier in Q1
Each bank could face an extra 50 basis points of capital add-on without remedial action
Concentration of EU banking assets grows
Share of assets held by top five banks in median EU country increases year-on-year
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Barclays trims connections to other financial firms
Intra-financial system assets and liabilities drop 19.6% and 13.5%, respectively
Trade data initiatives aim to unify regulatory reporting
Standardised data would improve systemic risk monitoring and save firms billions, say data engineers
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Credit Suisse bolsters liquidity buffers
LCR reinforced in response to choppy markets
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Credit Suisse sheds $11bn in op risk RWAs
Regulator allowed Swiss bank to cut op risk exposure from defunct business
The CoCVaR approach: systemic risk contribution measurement
In this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.
Bank of Japan cautions on low loan-loss reserves
Lenders vulnerable to reverse in benign economic conditions
Custody surge could be precursor to capital pain
BNY and State Street assets hit new record, as Basel consider G-Sib changes
Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing
This paper illustrates how the transmission of systemic risk from shadow banking to the regulated banking sector can be modeled using partial least squares structural equation modeling in an effort to help regulators better monitor and manage contagion.
Systemic rules for insurers and funds should be mutually coherent
Leverage and liquidity risks are common to both sectors, says IAIS chair Victoria Saporta
New BoE stress test puts focus on banks critical to UK
Annual test will attempt to gauge impact of IFRS 9
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text