Scenario analysis
Peacetime stress‑testing applications
Leo Sadovy, analytics consultant, risk, finance and banking, and solution lead for SAS‘s scenario analysis and stress-testing solution, sets out the key role of strong decision-making and the importance of being able to innovate and respond to adverse…
Shaping the future of risk and finance with analytics and integrated technology
This webinar explores how to enhance business planning activities, while accelerating regulatory demands with limited resources amid a need to derive greater value from the analytic lifecycle
Top 10 op risks 2022: geopolitical risk takes centre stage
Ukraine invasion, western sanctions and Russian response seen driving big rise in cyber and supply chain risks
Europe’s banks brace for Russia-backed cyber retaliation
Beefed-up sanctions on Russia’s largest banks spark IT security alert; 100s of computers brought down in Ukraine
Severe but plausible – or not?
In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.
Climate risk takes scenario analysis and stress-testing to the next level
Financial institutions are facing several challenges as they prepare for the transition risk journey that will see them evaluating their existing risk and finance solutions. Ludwig Dickens, client advisor, risk business consulting, at SAS discusses what…
Building resilience into ESG risk management
Risk and resilience continue to play an important role in the navigation of an increasingly uncertain world. Fusion Risk Management explores why it is equally crucial for technology to support organisations in addressing pertinent environmental, social…
Climate transition and bonds: risk or opportunity?
Measuring climate risk on bonds is a nascent discipline. Andy Sparks, fixed income and multi-asset product research at MSCI, looks at how to apply climate analytics to fixed income portfolios
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Climate scenarios: carbon price shock sees asset prices slump
Crowd-sourced scenario analysis suggests very few sectors safe from a post-COP carbon price pop
Show, don’t tell, on op resilience – Fed examiner
OpRisk North America: banks warned of “disconnect” between theory and practice
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowd-sourced scenario exercise
FSB debates how to fit climate risk into capital rules
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
Key impact deep dive (KIDD)
This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
Lacima’s models stand the test of major risk events
Lacima’s consistent approach between trading and risk has allowed it to dominate the enterprise risk software analytics and metrics categories for nearly a decade
New UK op risk rules elevate management over measurement
Under op resilience rules, firms must plan for all severe stresses, whatever their probability
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
A framework to analyze the financial effects of climate change
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
A Libor market model including credit risk under the real-world measure
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure.
Aaron Brown: to learn how to handle a crisis, create one
Scenario analysis still isn’t taken seriously; it should be, says AQR’s former risk chief
US election scenarios: meltdown fears if poll contested
Crowd-sourced election scenarios show sharp falls and correlation breaks if Trump challenges results
Fed set to unveil operational resilience proposals
OpRisk North America: banks expected to design idiosyncratic stress scenarios to test resilience
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases