Sam Langfield
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View article: Discriminatory Pricing of Over-the-Counter Derivatives
Discriminatory Pricing of Over-the-Counter Derivatives Open
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of l…
View article: Discriminatory Pricing of Over-the-Counter Derivatives
Discriminatory Pricing of Over-the-Counter Derivatives Open
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market.The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of le…
View article: Who Bears Interest Rate Risk?
Who Bears Interest Rate Risk? Open
We study the allocation of interest rate risk within the European banking sector using novel data. Banks’ exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net wo…
View article: Indirect contagion : the policy problem
Indirect contagion : the policy problem Open
An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic would investigate every possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close hum…
View article: Measuring Systemic Illiquidity and Optimal Policy Options: a Dynamic Approach
Measuring Systemic Illiquidity and Optimal Policy Options: a Dynamic Approach Open
Parallel Sessions D: Systemic Risk Measurements and Networks
View article: From the horse’s mouth: surveying responses to stress by banks and insurers
From the horse’s mouth: surveying responses to stress by banks and insurers Open
Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers ho…
View article: Regulating the Doom Loop
Regulating the Doom Loop Open
Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have not reached consensus on whether and how to reform the regulatory treatment of banks' sovereign exposures. To inform po…
View article: ESBies: safety in the tranches
ESBies: safety in the tranches Open
SUMMARY The euro crisis was fuelled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight-to-safety capital flows. European Safe Bonds (ESBies), a euro area-wide safe asset without joint liability, wou…
View article: Too late, too sudden: Transition to a low-carbon economy and systemic risk
Too late, too sudden: Transition to a low-carbon economy and systemic risk Open
Keeping global warming below 2êC will require substantial reductions in global greenhouse gas emissions over the next few decades. To reduce emissions, economies must reduce their carbon intensity; given current technology, this implies a …
View article: Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset
Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset Open
Policy is only as good as the information at the disposal of policymakers. Few moments illustrate this better than the uncertainty before and after the default of Lehman Brothers and the subsequent decision to stand behind AIG. Authorities…
View article: Bank bias in Europe: effects on systemic risk and growth
Bank bias in Europe: effects on systemic risk and growth Open
Europe’s financial structure has become strongly bank-based–far more so than in other economies. We document that an increase in the size of the banking system relative to equity and private bond markets is associated with more systemic ri…