Stress scenarios
Ice US incurs $644m hypothetical stress loss shortfall
Double-member default in worst-case scenario would have overwhelmed CCP’s default fund
A mix of Gaussian distributions can beat GenAI at its own game
Synthetic data is seen as the preserve of AI models. A new paper shows old methods still have legs
Fed agrees to unveil stress test models in transparency U-turn
US regulator commits to September 30 deadline for new measures
Two years after SVB, EVE transparency remains sluggish
Only three US banks began publishing EVE figures since 2023
EC official ‘positive’ on launching NBFI repo facility
Isda AGM: EU may follow UK with contingent liquidity facility for periods of market stress
China’s top banks bulk up liquidity as global peers trim buffers
US G-Sibs continue to trail with lowest median LCR since 2021
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
Market whipsaw spurs calls to rethink buy-side stress-testing
Risk Live Boston: Morgan Stanley and BlackRock urge rethink of scenario assumptions and top-down factor models
BMO US posts lowest LCR among IHCs
Bank’s first disclosure in five years shows reliance on regulatory adjustment to meet minimum requirement
Liquidity risk spikes at CME and OCC
CCPs revised estimated worst-case payment obligation to highest levels on record in Q4