This reinvigorated the policy debate about dampening such “procyclicality” of margin requirements. In this paper, we suggest how margin setters and policy makers might measure procyclicality and ...

Although recognizing various practical limitations, new policy responses are identified that could help to mitigate procyclicality. Although economic cycles are taken as a natural and recurring ...

The results highlight a potential specification of risk-based access to clearing and settlement in FMIs. A further policy implication of valuations of the credit risk–liquidity risk trade-off is the ...

Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate In light of the uncertainties about valuation highlighted by the 2007-2008 ...

Update from the battle against procyclicality on facebook (opens in a new window) Update from the battle against procyclicality on linkedin (opens in a new window) ...

Or interaffected? That question is simple to at least navigate through, by the mere application of a term called procyclicality. But what is it? Procyclicality refers to the proneness of financial ...

Financial markets reflect changes in the economy. But sometimes they amplify them too. Both of these roles were evident as the Covid-19 (Covid) pandemic materialised. As the economic outlook ...

The European Systemic Risk Board has published a report on mitigating the procyclicality of margins and haircuts in derivatives markets and securities financing transactions. The report assesses ...

RMIT University provides funding as a strategic partner of The Conversation AU. The global financial crisis revealed the inadequacy of Basel II capital requirements for banks and exposed its ...

The Bank of England has received mixed reaction to its paper on how pension schemes and insurance firms could contribute to procyclicality by amplifying asset price movements and destabilising the ...