Risk
Nalm 2013: Sound central bank risk practices could choke off liquidity
Central banks are more activist in reserves management, with some looking to private sector for inspiration. But there are dangers with such a approach, say panellists at Central Banking conference
Bundesbank paper raises concerns over accuracy of systemic risk measures
Researchers find market-based systemic risk measures may give a façade of safety even as banks enter ‘major tail risks’
ECB’s LTROs contribute to 12% drop in repo transactions
Icma report warns ‘abundant’ liquidity provided by ECB’s long-term refinancing operations is undermining the repo market in Europe; notes signs of increased risk appetite
IMF paper advocates hybrid discretion and rules-based macro-prudential policy
Researchers say discretionary systems can be gamed but rules struggle to properly account for risk; combination of ‘strong baseline’ and time-varying component gives best results
Booknotes: The Ponzi Scheme Puzzle: A History and Analysis of Con Artists and Victims
Tamar Frankel offers us a colourful and broad picture of con artists who have initiated their own ‘Ponzi schemes’.
Central banks need to define clear role for operational risk
Despite crossing management and business lines, operational risk must be defined within the wider risk management framework at central banks. By Rudy Wytenburg.
Byres hints at Basel Committee rethink on risk-weight modelling
Secretary-general weighs challenges of balancing complexity and simplicity of capital requirements; outlines possible changes to banks’ risk modelling choices
BIS paper urges policy-makers to consider co-ordinated bond strategy
Research finds effective response to a bond market crisis has become more difficult due to heavily laden central bank balance sheets, raising the need to better co-ordinate a crisis framework
Basel report proposes curbs on bank modelling choices
Basel Committee report finds ‘considerable variation’ in risk-weighted assets for bank trading books; says policy-makers should consider limiting modelling options and improving disclosure
Bundesbank paper quantifies ‘considerable’ risk spillovers
Researchers design new methodology for measuring systemic risk and contagion effects, finding spillovers are significant but vary from region to region
IMF research finds inflation targeting can dampen risk premiums
Working paper suggests inflation targeting reduces a country’s risk premium, although this effect is stronger for emerging markets and where inflation targeting is successful in stabilising prices
IMF paper urges greater macroprudential standards for CCP risk buffers
Study published by IMF seeks to eliminate regulatory arbitrage between banks and CCPs' prudential standards
Bundesbank paper analyses drivers of default risk
Study published by the Deutsche Bundesbank finds systematic factors are responsible for up to a quarter of the differences in the default risk of individual banks' credit portfolios
Striving for a strategic role for risk management
Risk management needs to be split from control functions to provide boards with a holistic view of qualitative and quantitative risks
Canadian research finds net liquidity boost from central clearing
Bank of Canada working paper finds small liquidity increase from use of centrally cleared derivatives
IMF research seeks to harness shadow banking
Staff discussion note outlines the shadow banking system’s useful functions and systemic risks; contemplates appropriate policy response
Norges Bank urges banks to continue accumulating capital
Financial stability report says although financial market conditions have improved, banks should strengthen their capital positions; supports supplementary capital requirements for Norwegian banks
Centralbanking.com panellists split on CCP resolution
Bank of England’s Schooling Latter says central counterparties can be permitted to fail; Ruben Lee says politics will likely undermine efforts to avoid moral hazard, with central banks forced to act
Regulated banks take greater risks abroad, says ECB paper
ECB study finds banks subject to tight regulation for domestic activities respond by relaxing lending standards abroad
Constâncio: EU macro research needs greater engagement
The vice-president of the European Central Bank says macro-prudential research has yielded excellent empirical tools; needs greater support from academics and policy-makers
Chile funding markets resistant to risk spillovers
IMF study finds funding costs in Chilean interbank and bank bond markets have weathered global risk spillovers well
Basel Committee official rebuts criticism over regulatory complexity
Basel Committee secretary-general defends Basel III from critics who argue it is unnecessarily complicated; says additional detail needed to meet the increasing complexity of financial markets
Risks of a serious global slowdown ‘alarmingly high', says IMF
IMF lowers global growth forecast; says influence of highly accommodative policies by central banks may be diminishing and the probability of an ‘alarming’ scenario for growth stands at 17%
IMF paper considers risks to sovereign assets
Study by IMF discusses benefits of sovereign asset and liability management frameworks; finds they help account for correlations between separate indicators