Systemic risk
JP Morgan only bank set to benefit from Fed’s G-Sib review
Proposal to reduce ‘cliff effects’ would generate 10bp surcharge relief while four peers face higher requirements
AOCI reinclusion would push 10 US banks below capital requirements
KeyCorp, Truist and UBS Americas the worst affected by removal of paper-loss waiver
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
Banks fear G-Sib tweak will increase capital volatility
Fed proposal would raise capital surcharge in 10bp increments
‘The nature of stress propagation has changed’
Leverage begets leverage, says BIS research chief Hyun Song Shin
US banks rue missed opportunity to reform G-Sib surcharge
As method 2 drifts away from Basel, critics fear comparability and competitiveness will suffer
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Lawmakers ask how big is too big for US banks
JP Morgan purchase of First Republic sparks debate over 10% cap on deposit market share
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
US G-Sibs’ OTC derivatives hit record $243 trillion
JP Morgan leads US dealers in boosting notional amounts during volatile first quarter
Systemic risk scores climb at largest US regionals
Funding indicators inflate systemic footprint of Capital One, KeyCorp, US Bancorp and Truist in Q1
Trading volume surged at ABN Amro and BNPP in 2022
Banks’ role in secondary market intermediation continues to grow as Deutsche retreats, G-Sib indicators show
Goldman on course for 3.5% G-Sib surcharge
Bank faces 50bp of extra capital add-on from 2025 in the absence of risk score reduction by year-end
Dora ‘critical tech vendor’ designation could cast a wide net
Experts think cloud services, data providers and software firms are all in regulators’ sights
FSB to examine social media role in bank runs
Isda AGM: upcoming report will trace flow of deposits out of failing banks; BoE warns of hidden leverage
Esma official calls for rethink of clearing incentives
Isda AGM: recent market events challenge some of the assumptions on mandatory clearing, says Löber
The tweet and the trust collapse: how banks can fall on a dime
In March’s market contagion, experts see lessons in the rapid erosion of confidence
Why US bank regulation needs a system upgrade
SVB collapse shows supervisory framework is not fit for a changing industry and new systemic risks
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models
This paper uses DebtRank, ΔCoVaR and MES to measure the systemic importance of banks, finding that DebtRank performs best from the perspectives of size and interconnectedness.
Does the asymmetric exponential power distribution improve systemic risk measurement?
The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.
Stablecoins: good as the buck, or breaking the buck?
Collateral concerns and iffy auditing have raised fears of a ‘de-pegging’ event – and possible contagion across crypto and beyond
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network
The authors use a LASSO-VAR method and generalized variance decomposition to measure the systemic risk contagion effect of Chinese-listed banks.