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By: Stefan W. Schmitz
By: Clemens Bonner, Iman van Lelyveld; Andreas Katteneder
Sponsored feature: BNP Paribas Securities Service
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
Data and transparency remain challenges for EBA
Bank supervisors should focus on improving internal stress-testing all year round
Mizuho International CRO thinks front line and risk management must act in partnership
Panellists at Bank of England forum urge asset managers to take more open approach
Fed stress tests are a "perfect storm of pressure"
Tests should link banks and real economy, say ECB's Constancio and BoE's Brazier
Stress tests designed to move counter-cyclically with financial cycle
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.