This week's risk management news includes BOA's launch of a substitute for the VIX index and PBOC's warning to banks regarding bad credit card debt
December 02, 2010 | Aditya PuriBofA launches alternative to the VIX index
Bank of America Merrill Lynch will launch a Global Financial Stress Index (GFSI) which it says should predict volatility better than the Chicago Board Options Exchange’s Volatility Index also known as the ‘VIX’, a barometer of investor anxiety. The Merrill index incorporates 23 measures of financial risk, hedging demand and investor-risk appetite. These include bond and bank spreads, such as LIBOR-OIS and corporate credit-default swap spreads; flows into emerging-markets equity funds, money-market funds and currency measures.
PBOC warns banks of mounting card defaults
The People’s Bank of China, the country’s central bank, in its third-quarter report on China’s payments system, warned commercial lenders of risks posed by growing bad debts in the credit card sector, which have mounted to $1.19 billion. It has reportedly issued an order during a private meeting with the heads of major commercial banks, warning them to pay close attention to risks associated with credit card related bad debt.
Re-disseminated by The Asian Banker
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Risk And Regulation Working Group
