Consultancy firm offers joined-up approach to ERM and operational risk issues
Increase in notionals among US hedge funds bucks trend seen globally
Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
BlackRock exec calls for standardised test before European clearing starts
Concern that historical price series volatility will not reflect jump-to-default risk
SEC stress tests provide foresight of damaging scenarios and increase time to react
This issue covers a range of topics, including: credit mismeasurement, backtesting methodology, stress testing and commodity risk model validation.
The papers in this issue discuss: the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures; the network of properties of TARGET2; and the lines of defense of a central...
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
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
This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions...
Bank fell short this year on qualitative op risk governance issues
CPMI-Iosco launch fact-finding mission on CCP risk management
New stress-testing method offers a break from decades-old traditio
Clearing houses, banks and regulators could all be caught in the wreckage
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
Growing sovereign bond portfolios face new risks and mixed messages
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
BNP Paribas and BTMU tout ‘scalable’ stress testing