Risk
ECB paper analyses risk-sharing in emerging markets
Working paper finds evidence of pro-cyclicality of capital gains on domestic stock markets; argues countries can hedge against risk by encouraging foreign investment
Bank of Lithuania takes next step in structural overhaul
New banking service aims to promote efficient investment operations and mitigate risk; comprises third step in central bank’s restructuring programme
Central Bank of Colombia paper analyses sovereign default risk
Working paper assesses main factors determining risk of Colombian government defaulting on its debt; finds different factors are important at different debt maturities
BoE paper studies impact of Lehman’s collapse on payments
Bank of England working paper studies the effect of the Lehman Brothers collapse on wholesale payment patterns; finds slower payments and increase in risk following the default
Bank boards have little time to focus on business risk, says Scotiabank chief
Canadian bank chief believes pressing need to meet raft of new regulations means top bankers have little time to focus on business risks; says ‘small’ and ‘uncomplicated’ banks fail too
BoE’s Jenkins discusses threats to financial system
Financial Policy Committee member considers dangers facing the global financial system; says future interventions to stabilise cross-border capital flows are likely
ECB paper models endogenous credit risk
Working paper discusses models of credit risk; authors argue that “feedback effects” have major implications for regulatory reform
Norwegian governor discusses fund risk rebalancing
Øystein Olsen considers need for pension fund to rebalance its portfolio in response to changing risk; argues that rebalancing is justified
IMF paper builds dynamic model of systemic risk
Working paper develops dynamic model of risk based on combination of underlying risk factors; finds this provides better warning signals than models with non-dynamic thresholds
Egyptian official recalls emergency planning during unrest
Manager of risk department at the Central Bank of Egypt describes what happened when social unrest took hold of the country; bankers decamped to a hotel in the suburbs to maintain services
JP Morgan loss was bungled attempt to cut Basel III RWAs, says Dimon
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
Fed’s Tarullo calls for prompt action to regulate shadow banking
Fed board member Daniel Tarullo sets out 'more or less immediate' steps that should be taken towards regulating the shadow banking sector
BoE’s Haldane criticises financial models
Andrew Haldane argues that use of normal distributions in many financial models seriously underestimates risk
BoE paper assesses contingent capital risk
Financial Stability Paper examines contingent capital’s risk to stability when used to fulfil banks’ equity requirements; warns that such capital may cause wider problems
IMF paper examines financial intermediation costs in low-income countries
Working paper considers causes of high financial intermediation costs in low-income countries; finds that lack of competition and various bank-specific factors lead to high costs
BoE’s Broadbent examines rising cost of capital
External member of the Bank of England’s Monetary Policy Committee considers causes of rising capital costs; suggests fear among investors of ‘extreme outcomes’ in eurozone
BoE paper investigates banks’ implicit subsidies
Paper discusses models for attempting to quantify implicit subsidy available to banks via government bailout; estimates range from £30 billion to £120 billion
Riksbank survey gauges Swedish risk perceptions
Survey by the Riksbank assesses participants’ perceptions of risk in Swedish financial system; finds limited optimism tempered by uncertainty over eurozone problems
IMF paper analyses savings and investment response to shocks
IMF researchers study response of savings and investment to income shocks; find high volatility of permanent shocks creates “volatility trap”
Central Bank of Colombia paper evaluates CrashMetrics risk estimation
Researchers examine CrashMetrics risk estimation methodology; find it makes better predictions during crises than traditional stress tests
BIS paper examines macro-prudential models and tools
Working paper considers the effectiveness of macro-prudential models in understanding the role of the financial sector in relation to the real economy
Colombia central bank co-director discusses crisis
Carlos Gustavo Cano considers causes of financial crisis; emphasises importance of using macro-prudential tools to prevent asset bubbles and calm investors
Bank of Russia reports solid financial stability in 2011
Financial Stability Review paints good picture of Russian economy in 2011; details steps taken to ensure continued stability
IMF paper evaluates credit risk assessment methods
Working paper compares cumulative accuracy profile and receiver operating characteristic analysis methods for evaluating credit risk