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Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
Covid scenarios, pt II: apocalypse how?
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
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Quotes
We face not just an uncertain future, but one in which we could be looking at states of the world, in the next few months, that are unimaginable. I could point to the more extreme scenarios, which have low probabilities, and say, looking at certain elements of the data, that they actually have a much higher probability.
Evan Sekeris, who previously oversaw operational risk at the US Federal Reserve, offers his thoughts on Risk.net's crowd-sourced stress scenario project.
I don’t understand why anyone would want to do that early. From the numbers we look at [we] will be hit pretty hard by SA-CCR. It was supposed to be favourable for us; it’s actually going to be neutral to slightly negative.
The head of clearing at a large US bank shares his thoughts on early adoption of SA-CCR.
The focus of the Fed over the last two or three years has been forcing the banks to understand their risks on a forward-looking basis, and to having good risk identification process. They harp on every one to do that on operational risk. Now, we have good inventories of the most material operational risks.
An op risk exec shares his hopes for a project that aims to standardise stress scenario design
Editor's Choice
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
Big Figure
Covid comparisons
Comparing the backtests on the S&P 500 using Risk.net’s latest set of crowdsourced stress scenarios (constructed by polling readers, and run once again in conjunction with RiskThinking.ai) and the last underlines how views have become more extreme. When Risk.net first asked participants to predict the impact of Covid in late March, the S&P was nearing a multi-year low of 2,191. Yet the range of views then – when markets were still in freefall, and central banks and governments had yet to firm up pledges of trillions of dollars in ultra-cheap credit and other support measures – was far narrower than it is now.
Read the full article7 days in 60 seconds
SOFR discounting, Covid and scenario crowdsourcing
The week on Risk.net, September 12–18, 2020
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