Stress-testing
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
LME Clear ‘welcomes scrutiny’ of CCP risk management
Oversight from clearing members is good for central counterparties, says LME Clear CEO
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Random drawing might fill gaps in liquidity risk data
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
Liquidity stress test regime needs attention, say central bankers
DNB experts recommend improved market-wide and bank-specific liquidity stress tests
A risk-based performance pipe dream?
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Custody Risk European Awards 2015: Insurance Custodian of the Year
Sponsored feature: BNP Paribas Securities Service
Liquidity stress testing: a model for a portfolio of credit lines
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
Europe's new supervisory toolkit
Data and transparency remain challenges for EBA
Time to get back to the real business of stress testing?
Bank supervisors should focus on improving internal stress-testing all year round
Risk managers need commercial nous, says Mizuho's Berry
Mizuho International CRO thinks front line and risk management must act in partnership
Esma's Maijoor welcomes calls for broader buy-side stress tests
Panellists at Bank of England forum urge asset managers to take more open approach
CCAR leaves modelling teams short of time and staff
Fed stress tests are a "perfect storm of pressure"
Stress tests need macro-prudential focus, say central bankers
Tests should link banks and real economy, say ECB's Constancio and BoE's Brazier
New BoE stress tests will be tougher during economic upturns
Stress tests designed to move counter-cyclically with financial cycle
Consultancy of the year: EY
Consultancy firm offers joined-up approach to ERM and operational risk issues
US hedge fund OTC notionals grew by $1.2trn in 2013–14
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.
CCP stress tests could help buy side pick winners
BlackRock exec calls for standardised test before European clearing starts
SEC’s Piwowar doubts CCPs should clear some instruments
Concern that historical price series volatility will not reflect jump-to-default risk
Riskology: What money markets can teach hedge funds
SEC stress tests provide foresight of damaging scenarios and increase time to react
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.