SEC stress tests provide foresight of damaging scenarios and increase time to react
More Stress testing articles
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
Solvency II has its weaknesses, says writer and consultant René Doff
Bank fell short this year on qualitative op risk governance issues
New stress-testing method offers a break from decades-old traditio
Banks, clearing houses and regulators all divided on question of standardised tests
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Financial sector struggling with macro and operational risks
New watchdog a great idea in theory, banks say - but early months have been difficult
Regulators criticised for reticence over why they rejected some test results
Banks and regulators urged to up their game in stress tests and scenario analysis
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.