Stress-testing
BoE to scrutinise banks’ op risk tolerance limits
Watchdog says banks must prove they can stick to tolerance limits; cyber stress test planned
Leverage ratio target slips further out of Deutsche’s reach
Exposures balloon after three quarters of decline
Japanese banks growing less resistant to financial crises
Ebbing income expectations would erode future capital ratios
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
Data gap leaves six foreign banks in US regulatory limbo
New Fed FBO proposal relies on an indicator that banks have not yet been reporting
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Fed DFAST models project huge credit card losses
Losses of over 57% estimated for high-risk accounts
Legal charges topped £6 billion at UK banks in 2018
Majority of costs relate to legacy issues, including PPI and RMBS mis-selling
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Quantification of model risk in stress testing and scenario analysis
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
Escalating global threats make for harsher BoE stress test
World GDP assumed to contract 2.6% in 2019 scenario
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Fed stress tests tougher in 2019
Severely adverse scenario projects US economy to shrink 9.4%
Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Goldman restores capital buffer after Trump tax hit
CET1 ratio hits two-year high
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario