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

Signal Last -1 Week -1 Month -3 Months -6 Months
US Banks Risk -0.78 -1.2 0.42 0.63 2.11

United States Bank Credit Default Swaps

Last -1 Week -1 Month -3 Months -6 Months
Morgan Stanley (MS) 53.99 56.25 62.74 60.77 65.5
Goldman Sachs (GS) 58.5 62 64.66 62.69 69
Bank of America (BoA) 45 46.2 53.19 55.98 55
JP Morgan (JPM) 38.5 40.9 45.55 46.42 52.5
American Express 34 35.75 36.47 40.2 41.5
Citigroup (CITI) 50 50.75 55.1 55.99 56.5

Europe Bank risk

Europe Bank Risk

Signal Last -1 Week -1 Month -3 Months -6 Months
Euro Banks Risk 0.43 0.29 0.92 1.65 0.72

Europe Bank Risk

Last -1 Week -1 Month -3 Months -6 Months Strength
BBVA 74.99 71 95.23 92.36 55
Santander 65 60.5 71.9 75.2 44.5
UBS 38.25 36 41.89 44.66 30
Deutsche Bank 129.24 124.49 141.92 147.71 120.5
Societe Generale 45.25 44.5 50.46 58.02 35.5
ING 34.5 34 36.18 35.6 26
Commerz Bank 87.49 88.25 85.24 82.83 69.5
Credit Suisse 67.01 67 69.52 83.31 68
Bnp Paribas 44 41.5 49.04 57.07 35
UNICREDIT 158.99 148.01 162.4 127.91 76

UK Bank risk

United Kingdoms Bank Risk

Signal Last -1 Week -1 Month -3 Months -6 Months
UK Banks Risk 1.58 1.5 1.62 2.56 0.5

United Kingdoms Bank Risk

Last -1 Week -1 Month -3 Months -6 Months Strength
RBS 97.5 95.25 85.71 73.05 52
Barclays Capital 117.75 117 117.16 114.32 95
HSBC 37.5 36 39.04 37.98 27

Insurance Sector risk

Insurance companies Risk

Signal Last -1 Week -1 Month -3 Months -6 Months
Insurance Sector Risk 0.46 0.75 0.68 1.16 1.19
<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
MGIC 110.77 115.91 134.75 177.64 147.8
AIG 88.51 92.5 86.16 81.35 81.51
Metlife 69 72.5 65.61 65.08 64.5
Hartford 56 56.99 52.24 50.25 52
Lincoln 82 87.01 79.93 77.51 70.5
Prudential 67.5 72 66.08 67.94 68.51
Aegon 67 66.5 74.76 73.77 63
XLIT 23 23.75 25.01 23.94 25
Aviva 65 59 61.89 57.54 55
AXA 44 43.5 46.66 54.21 53.5
Zurich Re 33 34 41.89 48.48 38
Allianz 27 27.5 33.79 37.5 27
Ally Financial 136.25 140.83 133.3 147.22 142.13
Ace 24 25.25 25.02 27.29 23.5
Chubb 25 25 25.97 26.81 23
<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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