Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Risk models are backward-looking but history won’t repeat itself
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
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The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Amended Financial Choice Act eliminates stress tests for funds, lobbyist claims
This paper focuses on the corporate stress testing models for credit risk.
Second Esma test will apply three scenarios to 17 clearing houses, but concerns remain
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
This paper uses a model combination approach to develop robust macrofinancial models for credit risk stress testing.
Higher volatility of loan loss provisioning will complicate financial planning and hit capital
Segmented upside and downside betas can be used for better risk management
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
GAO says internal tests weaken incentives for banks to create 'meaningful and severe stress tests'
Tests reveal how unwelcome any watering down of key measure would be
CCAR could expose weaknesses in capital planning at foreign banks
Banks unable to calculate impairments under extreme scenarios must answer to regulator
Lender releases new capital plan after worst performance in BoE test
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Timothy Massad: stress tests reveal “quite a bit of diversification” in CCP exposures
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The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.