Risk
Exogenous constraints affected asset purchase programme, Irish paper says
Research letter looks at impact of extended scheme
BIS paper links debt service lag to impact on real economy
Authors find the lag between borrowing and peak debt service helps explain why debt booms reduce future output and increase the probability of a crisis
OCC warns on cyber risks from subpar patches at US banks
Regulator says banks have good track record overall, but exams reveal weaknesses
IMF urges ‘no favour, no obstacle’ approach to Islamic banking
Report urges countries to adopt more consistent prudential standards for Islamic banks and strengthen liquidity management frameworks
BoE paper tackles multidimensional tail risk forecasting
Researchers set out method that can capture the multiple sources of risk feeding into a tail event and help understand how risks interact
Irish paper examines why banks set collateral conditions
Ex-ante risk and loan size are key factors, researchers say
Risk weightings should reflect borrowing constraints, paper argues
Finnish paper criticises principle behind regulations on capital requirements
Growth of shadow banks led by risky investment vehicles – FSB
Shadow banks continue to gain ground, with those offering liquidity and maturity transformation showing some of the fastest growth
‘Ambitious’ capital markets union necessary – Constâncio
Better eurozone capital markets would smooth regional shocks, ECB vice-president says
Fed authors construct ‘financial stability sentiment’ index
Index derives sentiment from central bank financial stability reports, finding a drop in sentiment tends to precede a “significant deterioration” of financial indicators
Bank Negara Malaysia invites public to submit ‘fintech hacks'
Malaysia’s central bank extends research into fintech through public project; hopes regulatory sandbox will produce “game-changing results”
IMF Paris explosion leaves one injured
Letter bomb explodes at the IMF headquarters in Paris, less than a day after an explosive device was sent to the German finance minister; Lagarde condemns the “cowardly act”
Initiative of the year: Saudi Arabian Monetary Authority’s compliance standards activation project
Sama has made a strong start in its efforts to develop an enterprise-wide risk management culture
Reserve manager of the year: Bank of Israel
Israel’s central bank has made breakthroughs in its sensitivity analysis of near-optimal portfolios, as well as making notable gains from its diversification strategy
Vickers renews criticism of BoE systemic buffer
Blanket 3% buffer would better support ring-fencing, Vickers tells Tyrie
Hedging demand can cause covered interest parity violations – BIS paper
US dollar forward hedging demand can cause covered interest parity to fail even when markets are calm, authors say, helping explain this post-2012 anomaly
Japanese survey throws light on financial education problem
First large-scale study of financial literacy shows many people have poor understanding, contributing to higher loss aversion, herding behaviour and other problems
IMF: rise of non-banks is reshaping policy transmission
Pass-through of monetary policy grows as non-banks become more important, but changed transmission mechanism demands better data to understand risk-taking channel
IMF's systemic risk findings called into question
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
Chinese financial spillovers to Asia-Pacific on the rise – BIS paper
Working paper finds Chinese equity markets now have almost as much of an impact on Asia-Pacific as the US, though the effects differ in stressed and placid times
Sarb governor stresses need for cooperative approach against cyber risk
New legislation will give central bank power over financial stability; now is the time for financial industry to become “proactive” in fostering “healthier” cyber culture, says Kganyago
Korea needs right kind of banking competition – quarterly bulletin
Competition can harm welfare if it is focused on gaining market share through a price war, authors say; Korean system may benefit from greater diversity
BoE researchers outline risk of collateral collapse
In stress periods, collateral chains could break, paper in forthcoming Journal of Financial Market Infrastructure warns
Proposal for calculating capital requirements for concentration risk
Working paper warns “inadequate reflection” on concentration risk can lead to banks holding too little capital; proposes technique for calculating appropriate levels