US banks’ internal stress tests vary

The stress periods used by the largest US banks to determine a portion of their market risk capital requirements vary markedly and change frequently. 

Stressed value-at-risk-based capital requirements are calculated by running a bank’s trading portfolio through a regulatory VAR model with inputs calibrated to historical data from a 12-month period of financial stress. 

Market risk capital rules state that a firm may select a stress period that is is appropriate to the “composition and directio

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: