Curated Web Resources & CMRA Commentary



Helpful Web Resources

Associations & Organizations



Risk Management

  • Federal Reserve Economic Data (FRED)
    • Database of economic time series suitable for backtesting, historical data, and risk analysis
  • NYU Stern Volatility Laboratory
    • Research on risks in financial markets, with daily calculations of volatilities and correlations on a wide range of assets
    • Coverage of financial industry, with a focus on risk management, derivatives, and complex finance


Structured Finance

Recent Literature and Regulatory Guidance

Bank of England

  • Financial Stability Report (November 2016)
    • The Bank of England's stress testing of major UK banks in 2016 incorporated a misconduct cost stress, perhaps reflecting fines totaling to over $300 billion paid by banks for misconduct since the financial crisis in 2008. Looking forward to the 2017 stress tests, an additional biennial exploratory scenario (BES) will be added for the first time to probe the resilience of the system to risks that may not be precisely linked to the financial cycle.
    • The UK leverage ratio framework will also be reviewed in 2017, with a recalibration of the standard to include the exclusion of central bank reserves from the exposure measure of the leverage ratio.
  • Staff Working Paper No. 609: The role of collateral in supporting liquidity (August 2016)
    • Yuliya Baranova, Zijun Liu, and Joseph Noss predict that a future period of stress could cause demand for high-quality collateral to spike while at the same time limiting its supply, thereby exacerbating market conditions. While the imbalance between supply and demand for collateral would likely eventually resolve itself as potential returns for collateral lenders increased, it could herald a costly breakdown in the network of intermediaries that facilitate collateral posting. The authors predict that the supply of collateral could be exhausted in the absence of additional central bank debt issuance when the VIX index rises above 44 for a sustained period of about three months, and warn that higher collateral requirements might considerably lower that VIX threshold.

Basel Committee on Banking Supervision

  • Twelfth progress report on adoption of the Basel regulatory framework (April 2017)
    • A little more than two thirds of Basel member jurisdictions have implemented rules surrounding the standardized approach for measuring counterparty credit risk (SA-CCR) and bank exposures to central counterparties. Since credit risk exposures contribute directly to the Basel III capital requirements, the implementation of SA-CCR may in some cases drastically increase or decrease capital charges, particularly because of the framework’s somewhat limited recognition of risk offsets from margining.
  • Global systemically important banks – revised assessment framework (March 2017)
    • Basel’s revised assessment framework for global systemically important banks (G-SIB) includes a proposal to remove the current cap on the substitutability category (one of five categories in the methodology). Substitutability measures how replaceable a bank is in the event of failure, and relies on three factors: payments, asset custody and securities underwriting. Removal of the cap would primarily affect institutions with large custodial businesses, such as BNY Mellon, Citigroup, JP Morgan Chase, and State Street.
  • Minimum capital requirements for market risk [finalized result of Basel’s fundamental review of the trading book] (January 2016)
    • A fundamental review of the trading book (FRTB) led to the revised market risk framework, published in January 2016 and coming into effect in January 2019. One of the biggest questions moving forward is to what extent the new framework will impact capital requirements. The Basel Committee estimates that the revised framework will increase capital by 40% on average, but the impact of new rules surrounding internal models (for example, desk-level modelling approval is tied to a bank’s ability to correctly estimate P&L and there are limitations of modellable and non-modellable risk factors) is unclear.

Bank for International Settlement

Commodity Futures Trading Commission

European Central Bank

Federal Reserve Board

International Monetary Fund

Office of the Comptroller of the Currency

International Swaps and Derivatives Association

  • ISDA SIMM Methodology, version R1.3 (April 2017)
    • ISDA's SIMM is one potential solution for market participants who need to comply with recent CFTC margin regulations for uncleared over-the-counter derivative transactions. The SIMM applies agreed upon stress factors, which are updated from time to time to reflect contemporaneous market conditions, to derivative risk sensitivities (e.g., delta, vega). Market participants should be cognizant of the fact that although initial margin posting can perhaps mitigate systemic risk, it is likely insufficient to insulate individual market participants from counterparty credit losses.
  • Variation Margin Big Bang Transition, Relief and Guidelines (March 2017)
    • The deadline for compliance with new rules on variation margin was March 1, 2017, but slow repapering rates forced regulators to grant forebearance until September 2017. The new variation margin rules, which require updated collateral agreements, may lead to forced unwinds and market disruption if dealers are unable to repaper their collateral documentation before the deadline imposed by regulators. Indeed, end users without the necessary collateral agreements in place may lose their existing derivatives transactions or find it difficult to execute new transactions.

U.S. Securities and Exchange Commission