Systemic risk
US dealers wade into European CCP relocation debate
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
Canadian CROs play down threat of mortgage exposure
Burgeoning loan portfolios no cause for concern despite Moody’s downgrades, risk chiefs claim
New light cast on shadow bank risk
PLS-SEM model could test assumptions on shadow banks’ risk role
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
BrokerTec dominance ‘unhealthy’, says Nasdaq’s Shay
More clearing needed to improve US Treasury competition
Regulators told to play greater role in cyber security
Companies can’t battle threats on their own, CFTC told
Madness in the method: Basel grapples with G-Sib riskometer
Some experts warn the methodology to identify systemic banks could increase systemic risks
Keeping faith: IAIS rebuffs view G-Sii concept will die
But firms see workplan announcement as step away from focus on high-risk entities
Scrap FSOC’s non-bank Sifi regime, Congress told
Designation process criticised at House hearing; senators call for review
Regulators may consider portability in CCP fire drills
BoE, BaFin and CFTC move signals concern over whether client positions can be moved between banks in a crisis
How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
In this paper, the authors study the stability of the interbank market to exogenous shocks using an agent-based network framework.
Clearing portability under threat as FCM pool shrinks
Failure of big clearing brokers could see clients unable to move to stable competitors
Standardized measurement approach: is comparability attainable?
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
Asset correlations and procyclical impact
The authors examine the behavior of asset correlations for companies in Taiwan under the Basel Accord’s asymptotic single-risk-factor approach.
Basel III has aided system stability, interbank models suggest
Model predicts future crashes will not be total wipeout
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Closer ties between banks could mean more risk-taking
Model points to risks of core-periphery structure
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows
Trump victory raises questions over future of FSOC
Risk USA: Former FSOC official cautions against scrapping supervisory council
Clamour grows for US Treasuries clearing mandate
HFT default could destabilise interdealer markets, participants fear
Banks test blockchain potential for real-time market surveillance
Regulators can monitor a million active trades and hundreds of messages per second in swap test