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New Pill Out Now! 𝐄𝐒𝐀𝐬+𝐄𝐂𝐁: 𝐓𝐫𝐚𝐧𝐬𝐢𝐭𝐢𝐨𝐧 𝐑𝐢𝐬𝐤 𝐋𝐨𝐬𝐬𝐞𝐬 𝐀𝐥𝐨𝐧𝐞 𝐔𝐧𝐥𝐢𝐤𝐞𝐥𝐲 𝐭𝐨 𝐓𝐡𝐫𝐞𝐚𝐭𝐞𝐧 𝐄𝐔 𝐅𝐢𝐧𝐚𝐧𝐜𝐢𝐚𝐥 𝐒𝐭𝐚𝐛𝐢𝐥𝐢𝐭𝐲, “𝐅𝐢𝐭-𝐅𝐨𝐫-𝟓𝟓” 𝐂𝐥𝐢𝐦𝐚𝐭𝐞 𝐒𝐭𝐫𝐞𝐬𝐬 𝐓𝐞𝐬𝐭 𝐒𝐡𝐨𝐰𝐬 Topics: #StressTest #ClimateRisk #TransitionRisk Authors: Dario E. Read more here: https://lnkd.in/dYNmPbRN

𝐇𝐢𝐧𝐭𝐬 & 𝐍𝐞𝐰𝐬 “𝐈𝐒𝐃𝐀: 𝐂𝐃𝐒 𝐌𝐚𝐫𝐤𝐞𝐭 𝐃𝐲𝐧𝐚𝐦𝐢𝐜𝐬: 𝐀𝐧𝐚𝐥𝐲𝐳𝐢𝐧𝐠 𝐓𝐫𝐞𝐧𝐝𝐬 𝐢𝐧 𝐒𝐢𝐧𝐠𝐥𝐞-𝐧𝐚𝐦𝐞 𝐂𝐃𝐒 𝐚𝐧𝐝 𝐈𝐧𝐝𝐞𝐱 𝐂𝐃𝐒 𝐌𝐚𝐫𝐤𝐞𝐭 𝐀𝐜𝐭𝐢𝐯𝐢𝐭𝐲" Tap here to read more: https://lnkd.in/dZkavnjK The #ISDA paper examines the dynamics of the CDS market from 2019 to the first half of 2024, focusing on single-name and index CDS market activity. Total CDS trading – as measured by market activity in index and single-name CDS – peaked at $38.7 trillion in 2022, largely due to heightened activity in index CDS, which accounted for 94.1% of the total market.   #MarketRisk #Derivatives #CDS

𝐑𝐞𝐬𝐞𝐚𝐫𝐜𝐡 𝐏𝐚𝐩𝐞𝐫 “𝐈𝐧𝐭𝐫𝐨𝐝𝐮𝐜𝐢𝐧𝐠 𝐒𝐞𝐜𝐭𝐨𝐫𝐚𝐥 𝐏𝐃 𝐒𝐚𝐭𝐞𝐥𝐥𝐢𝐭𝐞 𝐌𝐨𝐝𝐞𝐥𝐬 𝐭𝐡𝐫𝐨𝐮𝐠𝐡 𝐂𝐨𝐧𝐬𝐭𝐫𝐚𝐢𝐧𝐞𝐝 𝐁𝐀𝐂𝐄” Read more here: https://lnkd.in/dTdK2n6n In this paper we propose a methodology to estimate sectoral PD Satellite Models that can be consistently used to perform scenario analysis based on sector specific shocks. In particular, we complement the #Bayesian averaging estimation approach known as BACE, with a study of the relative importance of the estimators in terms of Dominance Analysis. The final aim is to estimate models with sufficient sensitivity to the sectoral scenario driver, identified with the Gross Value Added (GVA). Authors: Raffaele Di Sivo, Riccardo Greco and Andrea Mauri #BACE #Satellitemodels #Stresstest #EBA #Shocks #Analisys

New Pill Out Now! Title: 𝐄𝐂𝐁: 𝐊𝐞𝐞𝐩 𝐂𝐚𝐥𝐦, 𝐁𝐮𝐭 𝐖𝐚𝐭𝐜𝐡 𝐭𝐡𝐞 𝐎𝐮𝐭𝐥𝐢𝐞𝐫𝐬 - 𝐃𝐞𝐩𝐨𝐬𝐢𝐭 𝐅𝐥𝐨𝐰𝐬 𝐢𝐧 𝐑𝐞𝐜𝐞𝐧𝐭 𝐂𝐫𝐢𝐬𝐢𝐬 𝐄𝐩𝐢𝐬𝐨𝐝𝐞𝐬 𝐚𝐧𝐝 𝐁𝐞𝐲𝐨𝐧𝐝 Topics: #LiquidityRisk Authors: Dario E. Read more here: https://lnkd.in/dYNmPbRN

𝐇𝐢𝐧𝐭𝐬 & 𝐍𝐞𝐰𝐬 “𝐎𝐩𝐭𝐢𝐨𝐧-𝐢𝐦𝐩𝐥𝐢𝐞𝐝 𝐛𝐨𝐧𝐝 𝐬𝐩𝐫𝐞𝐚𝐝 𝐫𝐢𝐬𝐤" Tap here to read more: https://lnkd.in/dZkavnjK This #ESM paper uses bond-option data to gauge market uncertainty and the magnitude of potential yield and spread moves in case of shocks to sovereign debt markets.   #MarketRisk #SovereignRisk #Bond

New Pill Out Now! Title: 𝐄𝐂𝐁: 𝐒𝐨𝐮𝐧𝐝 𝐏𝐫𝐚𝐜𝐭𝐢𝐜𝐞𝐬 𝐟𝐨𝐫 𝐈𝐧𝐭𝐫𝐚𝐝𝐚𝐲 𝐋𝐢𝐪𝐮𝐢𝐝𝐢𝐭𝐲 𝐑𝐢𝐬𝐤 𝐌𝐚𝐧𝐚𝐠𝐞𝐦𝐞𝐧𝐭 Topics: #LiquidityRisk Authors: Dario E. Read more here: https://lnkd.in/dYNmPbRN

𝐇𝐢𝐧𝐭𝐬 & 𝐍𝐞𝐰𝐬 “𝐁𝐈𝐒: 𝐓𝐡𝐞 𝐫𝐢𝐬𝐢𝐧𝐠 𝐭𝐢𝐝𝐞 𝐨𝐟 𝐜𝐥𝐢𝐦𝐚𝐭𝐞 𝐟𝐢𝐧𝐚𝐧𝐜𝐞 - 𝐬𝐜𝐨𝐩𝐞 𝐭𝐨 𝐚𝐝𝐣𝐮𝐬𝐭 𝐩𝐫𝐮𝐝𝐞𝐧𝐭𝐢𝐚𝐥 𝐭𝐫𝐞𝐚𝐭𝐦𝐞𝐧𝐭" Tap here to read more: https://lnkd.in/dZkavnjK This #BIS paper highlights the critical intersection between climate change, financial stability, and the evolving role of financial institutions in funding the transition to a sustainable economy. #Climatefinance — comprising investments aimed at reducing greenhouse gas emissions and adapting to climate impacts — requires significant contributions from private capital to meet global sustainability goals. #ClimateRisk #TransitionRisk #SustainableFinance

𝐉𝐮𝐬𝐭 𝐢𝐧 𝐓𝐢𝐦𝐞 "𝐄𝐒𝐀𝐬: 𝐓𝐡𝐞 𝐖𝐨𝐫𝐤 𝐏𝐫𝐨𝐠𝐫𝐚𝐦𝐦𝐞 𝟐𝟎𝟐𝟓" Click here to read more: https://lnkd.in/duMkptWp The 2025 Work Programme of the Joint Committee of European Supervisory Authorities (ESAs) focuses on coordination initiatives between the main EU #financialRegulators. The document identifies the main priorities of the year, aimed at improving financial stability and consumer protection in a context of growing economic and geopolitical risks. A deep dive has been given to the EBA’s work programme. #EBA adopted some priorities for a three-year horizon: EU Single Rulebook, financial stability, data, DORA oversight and MiCAR supervision, as well as conduct and AML/CFT. Author: Bianca Ghilardi Augusto Proietti Tommaso Travenzoli #ESGRisk #Governance #Fintech #FinancialInnovation

𝐎𝐮𝐭 𝐧𝐨𝐰 𝐭𝐡𝐞 𝐧𝐞𝐰𝐞𝐬𝐭 𝐌𝐚𝐫𝐤𝐞𝐭 𝐕𝐢𝐞𝐰: "𝐀 𝐍𝐞𝐰 𝐂𝐋𝐎 𝐟𝐨𝐫 𝐭𝐡𝐞 𝐄𝐮𝐫𝐨𝐩𝐞𝐚𝐧 𝐒𝐭𝐫𝐮𝐜𝐭𝐮𝐫𝐞𝐝 𝐌𝐚𝐫𝐤𝐞𝐭….𝐨𝐫 𝐧𝐨𝐭?". Subscribe to our #marketview newsletter! The most interesting updates on #financialmarket developments, #monetarypolicy choices and #centralbanks moves available to you every week. Read more on our website: https://lnkd.in/dk_3n7TG

New Pill Out Now! Title: 𝐓𝐡𝐞 𝐄𝐁𝐀 𝐂𝐨𝐧𝐬𝐮𝐥𝐭𝐬 𝐨𝐧 𝐆𝐮𝐢𝐝𝐞𝐥𝐢𝐧𝐞𝐬 𝐨𝐧 𝐏𝐫𝐨𝐩𝐨𝐫𝐭𝐢𝐨𝐧𝐚𝐭𝐞 𝐑𝐞𝐭𝐚𝐢𝐥 𝐃𝐢𝐯𝐞𝐫𝐬𝐢𝐟𝐢𝐜𝐚𝐭𝐢𝐨𝐧 𝐌𝐞𝐭𝐡𝐨𝐝𝐬 Topics: #CreditRisk #StandardisedApproach Authors: Dario E. Read more here: https://lnkd.in/dYNmPbRN