Stress scenarios
Fund fears linger over guidelines set to avert fire sales
Final Esma framework allays some European asset managers’ concerns
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
EU stress tests not as tough as financial crisis
Projected GDP decline for Spain, Ireland and Italy milder than during the credit crunch
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Deutsche’s stress-testing models are surprisingly accurate
DB USA's projections precisely matched the Fed’s estimates for the second year in a row
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
Basel set to update op risk and resilience principles
Op risk working group to issue core ‘indicators of resilience’ proposal as update to 2011 principles
Fed study says CCAR has not toughened over time
Higher planned dividends and buybacks to blame for increased capital depletion under stress tests
Allianz’s solvency ratio dips 11 points
Share buyback, market moves, regulatory tweaks all take their toll on capital
Japanese banks growing less resistant to financial crises
Ebbing income expectations would erode future capital ratios
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Escalating global threats make for harsher BoE stress test
World GDP assumed to contract 2.6% in 2019 scenario
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Fed stress tests tougher in 2019
Severely adverse scenario projects US economy to shrink 9.4%
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
Barclays and Lloyds improve resilience to stress tests, HSBC falls back
Capital headroom above pass/fail thresholds increases to 250bp at lenders
IFRS 9 transition eases UK banks’ path through stress tests
Aggregate CET1 ratio 130bp lower without transitional relief
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world