Systemic risk
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
Identifying complex core–periphery structures in the interbank market
This paper proposes a framework to identify the structure of a financial network and its evolution over time, and presents an application to an interbank market with complete actual data.
JP Morgan urges clients to compress over G-Sib fears
Bank trying to mitigate impact of draft Federal Reserve rule change on clearing business – others are said to be doing the same
DTCC set to cut US Treasury clearing fees
Revised fee structure could prompt more firms to participate in clearing
SEC approves DTCC’s $74bn liquidity facility
Proposal faced opposition from smaller broker-dealer members of US Treasuries CCP
JP Morgan’s CRO on the bank’s six buckets of risk
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it
JP Morgan CRO: CCPs need extra tail-risk buffers
Bail-in capital would help avoid contagion, says JPMorgan Chase's Ashley Bacon, in an interview with Risk.net
Fishing for Sifis: row over Nobel laureate’s risk model
Engle’s tool for ranking risky firms is one of many that are dividing industry, academics and regulators
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
IMF ‘wrong’ to label Deutsche world’s riskiest bank
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
Crisis alert: new model aims to give early warning of downturn
Academics say tool could offer policymakers up to three years’ notice of impending crash
Fed supervisor presses banks to address CCP exposures
Regulator says more information is needed to fully understand the risk of cleared trades
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
US Treasury hands CCP resolution powers to FDIC
Mnuchin regulatory review explicitly refers to FDIC as receiver under a Title II resolution
Systemic risk management in financial networks with credit default swaps
In this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks.
US blocking new list of global too-big-to-fail insurers
US wants designation suspended until new, activities-based approach is ready
Behavioral risks at the systemic level
By comparing the Libor and FX benchmark manipulation scandals, this paper describes how misbehavior emerged independently in both of these markets and the conditions that permitted the misconduct to survive and thrive.
CDS surcharge touted to aid systemic stability
Charges would encourage systemic banks to buy protection from less significant players
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Twin member default would hit up to 23 CCPs
New FSB analysis reveals interdependencies of clearing system