Deterministic Chaos
The origin of complexity
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Iran War Regime Change in Oil Markets
The note answers two market questions: Signal Detection The Bai-Perron (2003) procedure endogenously detects multiple, unknown structural breaks in time series data. It flags regime breaks by identifying when parameters in a linear model change over time, providing consistent estimates of break dates, even with heterogeneous errors. Bai-Perron can be implemented in Python using the…
Rising Systemic Risk in Banking
The rapid, sustained rise in loans from banks to non-depository financial institutions (NDFIs) — which grew at a 21.9% compound annual rate from 2010 to 2024 — increases systemic risk by creating intense interdependencies. These exposures, particularly through credit lines, can act as transmission channels for financial distress, as bank stability becomes directly tied to…
US Regional Banks at Ground Zero of the Hormuz Commodity Shocks
With the greatest global commodity shock dynamic propagating, it’s timely to examine the banking landscape at the water’s edge just before the tsunami sweeps in. Per FDIC, the banking industry’s loss provision expense was $20.8 billion in the third quarter 2025, down $9.2 billion QoQ mostly due to Capital One’s acquisition of Discover Financial Services.…
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