Systemic risk
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Asset managers sanguine on Deutsche Bank woes
Bank’s troubles seen as unlikely to trigger wider banking crisis
IMF's systemic risk findings called into question
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
Connecting the dots: how DTCC manages contagion risks
DTCC CRO Andrew Gray offers a template for managing the risk of interconnectedness
The econometrics of Bayesian graphical models: a review with financial application
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
SEC prepares Dodd-Frank buy-side stress tests
Asset manager stress tests aim to measure fund liquidity and contagion risks
Vickers renews call for greater focus on bank equity
Bank of England overconfident on resolution and counter-cyclical buffer, ICB head says
DTCC coaxing HFTs to become clearing members
US Treasuries CCP concerned about contagion risk threat to existing members
A network-based method for visual identification of systemic risks
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
Fund industry defends use of credit lines as liquidity backstop
Concerns about systemic risk unjustified, say asset managers
Why feedback loops could tie regulators in knots
Growing awareness of endogenous risk raises difficult questions about too-big-to-fail approach
Insurers should prep for questions on pro-cyclicality
Regulatory agenda shifting to systemic risk of herding
ESRB's buffer plan would worsen systemic risk – insurers
Industry and regulators at loggerheads over pro-cyclicality
Banks test promise of blockchain as CCP replacement
“You can imagine a world where you don’t need clearing houses,” says senior banker
Network centrality, failure prediction and systemic risk
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
Interoperability between central counterparties
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
Modeling operational risk capital: the inconvenient truth
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
ECB flags threat of ‘abrupt reversal’ in risk premia
Latest review identifies two ‘medium-level systemic risks’ to eurozone
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
PRA plans for tougher scrutiny of 'other systemic institutions'
Institutions designated as O-Siis will be expected to produce resolution plans
BNY Mellon highlights dangers of unknown Sifis
Outsourcing and concentration could create inadvertent keystone companies
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.