Bank risk

MacroVar monitors bank risk by monitoring credit default swap indices of systemic banks and insurance companies in the United States, Europe and UK.

US Bank risk

United States Bank Risk

SignalLast-1 Week-1 Month-3 Months-6 Months
US Banks Risk-0.78-1.20.420.632.11

United States Bank Credit Default Swaps

Last-1 Week-1 Month-3 Months-6 Months
Morgan Stanley (MS)53.9956.2562.7460.7765.5
Goldman Sachs (GS)58.56264.6662.6969
Bank of America (BoA)4546.253.1955.9855
JP Morgan (JPM)38.540.945.5546.4252.5
American Express3435.7536.4740.241.5
Citigroup (CITI)5050.7555.155.9956.5

Europe Bank risk

Europe Bank Risk

SignalLast-1 Week-1 Month-3 Months-6 Months
Euro Banks Risk0.430.290.921.650.72

Europe Bank Risk

Last-1 Week-1 Month-3 Months-6 MonthsStrength
BBVA74.997195.2392.3655
Santander6560.571.975.244.5
UBS38.253641.8944.6630
Deutsche Bank129.24124.49141.92147.71120.5
Societe Generale45.2544.550.4658.0235.5
ING34.53436.1835.626
Commerz Bank87.4988.2585.2482.8369.5
Credit Suisse67.016769.5283.3168
Bnp Paribas4441.549.0457.0735
UNICREDIT158.99148.01162.4127.9176

UK Bank risk

United Kingdoms Bank Risk

SignalLast-1 Week-1 Month-3 Months-6 Months
UK Banks Risk1.581.51.622.560.5

United Kingdoms Bank Risk

Last-1 Week-1 Month-3 Months-6 MonthsStrength
RBS97.595.2585.7173.0552
Barclays Capital117.75117117.16114.3295
HSBC37.53639.0437.9827

Insurance Sector risk

Insurance companies Risk

SignalLast-1 Week-1 Month-3 Months-6 Months
Insurance Sector Risk0.460.750.681.161.19
<div><iframe src="https://macrovar.com/wp-admin/admin-post.php?action=loadtemplate&id%5B0%5D=block&id%5B1%5D=ins-risk-table" frameborder="0" scrolling="no" width="700" height="420" title="MacroVar.com"></iframe><div style="font-family: Arial, sans-serif;text-align: center;position: relative;font-size:10px;max-width:600px;">Powered by MacroVar.com <a style="font-size:10px;color:#428bca;text-decoration:none;" href="https://macrovar.com" target="_blank">Free Financial Advisor & Financial research</a></div></div>

Insurance companies Risk

Last-1 Week-1 Month-3 Months-6 Months
MGIC110.77115.91134.75177.64147.8
AIG88.5192.586.1681.3581.51
Metlife6972.565.6165.0864.5
Hartford5656.9952.2450.2552
Lincoln8287.0179.9377.5170.5
Prudential67.57266.0867.9468.51
Aegon6766.574.7673.7763
XLIT2323.7525.0123.9425
Aviva655961.8957.5455
AXA4443.546.6654.2153.5
Zurich Re333441.8948.4838
Allianz2727.533.7937.527
Ally Financial136.25140.83133.3147.22142.13
Ace2425.2525.0227.2923.5
Chubb252525.9726.8123
<div><iframe src="https://macrovar.com/wp-admin/admin-post.php?action=loadtemplate&id%5B0%5D=block&id%5B1%5D=ins-risk-table" frameborder="0" scrolling="no" width="700" height="420" title="MacroVar.com"></iframe><div style="font-family: Arial, sans-serif;text-align: center;position: relative;font-size:10px;max-width:600px;">Powered by MacroVar.com <a style="font-size:10px;color:#428bca;text-decoration:none;" href="https://macrovar.com" target="_blank">Free Financial Advisor & Financial research</a></div></div>


Bank risk model

Bank risk is the likelihood that a government goes bankrupt and the amount the investor loses if it happens. Credit-risky securities include bank bonds. Credit default swaps are widely used derivatives used in credit risk management to describe market perceptions of credit risk for a specific financial institute. Credit default swaps (CDS) are derivatives contracts which by construction aim at quantifying the risk of default of a counterparty. Therefore, CDS written for banks are early signals to monitor and detect elevated credit risk conditions for these banks and as a consequence for the global financial system.

MacroVar calculates for each of the banks credit default swaps the average of the six month and twelve month z-scores. Extreme values of z-scores greater than two indicate elevated credit risk conditions and vice-versa. MacroVar bank risk index is the average of z-scores of the tweleve credit default swaps tracked.

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