Stress testing
The OCC’s Levonian on stress-testing
Stress-testing has become a vital tool for financial institutions and regulators, says the OCC’s senior deputy comptroller for economics
As more institutional investors opt for hedge funds, robust risk management is being seen as a central function needed in order to raise capital, according to a survey by Prmia and SunGard APT
In this study we investigated several of the most popular loss given default (LGD) models (least-squares method, Tobit, three-tiered Tobit, beta regression, inflated beta regression, censored gamma regression)...
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More Stress testing articles
Latest Issue: Volume 7/Number 1, Spring 2013
Steve Satchell Trinity College, University of Cambridge Our journal's subject matter continues to evolve in response to current issues. This is clearly a very healthy process and is of obvious benefit to all associated with The Journal of Risk Model...
OpRisk North America: Regulator warns industry to get implementation...
Implementation of Dodd-Frank Act raises op risk concerns, conference hears
Energy firms increasingly using stress tests to cope with regulatory...
Utilities and other energy firms are working hard to refine and enhance the scenarios they use for stress testing. Given recent market events, the impact of regulatory change and large-scale liquidity crises are taking on an increasingly important role....
Revised LCR falls short on ending Basel III concerns over trade finance...
The relaxation of Basel III’s liquidity coverage ratio (LCR) requirements have been a major boon to trade finance, a sector which expected to suffer badly from the new regulatory regime. But not all issues related to Basel III have been resolved
Bank risk manager of the year: Goldman Sachs
By recent standards, market risk was in remission for most of 2012 – the Vix index of implied volatility on S&P 500 options had its most subdued year since the start of the crisis, and bank value-at-risk levels were also down dramatically. For risk...
In-house system of the year: Royal Bank of Scotland
Stress tests have become a more important part of the risk manager’s toolkit since the financial crisis reminded banks and regulators how difficult it is to model the tail of the loss distribution – but turning an essentially qualitative process into...
Fed promises dramatically tougher rules for non-US banks
Foreign banks in US must set up holding companies with ring-fenced capital
Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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