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
Banks and regulators urged to up their game in stress tests and scenario analysis
CCP stress tests should consider possibility of failed auctions
Market shocks are earthquakes, not a game of roulette
Bank of England to apply price shocks based on unwind periods
Diverse products and risk profiles make standardised stress testing difficult
Wild moves in the Swiss franc and US Treasuries blindsided VAR models