Stress testing
Bank models are built on foundations of sand
Original headline:
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
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Twelve new banks are included in this year's US stress test, and some institutions are unhappy about the extra work
Original headline:
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles...
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More Stress testing articles
Global economic growth concerns outweigh Greek default and Spain/Italy...
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Risk.net poll supports IIF deputy managing director Hung Tran's view that global economic recession stands head and shoulders above fears of Greek default and Italy/Spain bail-out
Stress testing under stress
Original headline:
The extreme market-moving events of this year are causing risk managers to revisit the basics of stress testing – how often, which factors to include, and how sensitive and specific to make them. Is there a set answer or must each firm decide its own...
Comparability of EBA stress tests questioned
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The ability of banks to use their own internal models for determining stressed PDs and LGDs mean the results will not be comparable, bankers claim
The culture of stress testing
Original headline:
Many financial institutions are putting greater focus on stress testing, but most will require a cultural adjustment for it to become an effective part of the risk management process, argues David Rowe
Eiopa launches second insurer stress test
Original headline:
The European Insurance and Occupational Pensions Authority (Eiopa) has launched a second Europe-wide stress test for the insurance sector, which will be conducted until the end of May and is based on 2010 financial results. The test will include a minimum...
EBA to launch new stress tests
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European Banking Authority unveils timeline for second round of EU-wide stress tests with launch set for Friday; first executive director and internal committee named
Risk Middle East: Industry-wide stress tests to become part of life...
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A new focus on tail risk is making stress testing a key tool for banks - and also for their regulators.
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