Bubble
Nordic banks’ RWAs rise $9bn on Swedish risk-weight floor rejig
Constraints on real-estate exposure modelling result in Pillar 2 charges moving to Pillar 1 requirements
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
AQR quant on the network effects behind GameStop frenzy
New model captures how ‘fanatical’ investors can influence asset prices
The problem with GRC
Boards may care more about products and profits than governance, risk and compliance (GRC). But without an effective GRC programme, the fun soon stops when trouble calls, says Michael Gibbs, chief executive of SureStep Risk + Analytics
Fixing the roof while the sun – wait, is that rain?
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
Double jeopardy: CCAR and the countercyclical buffer
Some US regulators want to hike capital while times are good; banks say Fed’s stress test already does
The BoE leverage ratio: welcome relief or regulatory arbitrage?
UK banks are reaping higher capital savings through the BoE's leverage measure
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Forecasting crypto crashes with bubble analysis
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
Capital buffers needed to combat price bubbles, says Jarrow
Banks should carry extra capital to combat distortive effects of price bubbles, says academic
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Brexit or Bremain: looking for clues in bubble analysis
Crisis analysis model suggests rates and credit markets see danger
The shale revolution devours its children
After a few years of irrational exuberance, US oil drillers are feeling the pain
BoE's Tucker: FPC capital powers 'won't be popular'
Attendees at ACT conference raise concerns about increased lending costs after Bank of England’s Tucker argues for powers to raise sectoral capital levels
Bank of England's FPC seeks to unlock Basel III tool-kit
Systemic risk committee at the Bank of England calls for power to use tools - such as liquidity and leverage ratios, and margin standards - to influence systemic risk