Stress scenarios
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
UK banks pass BoE stress tests
Dividend and AT1 bond coupon cuts needed to clear minimum requirements
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis
French banks, jump-to-default and STS for synthetics
The week on Risk.net, October 26–November 1, 2019
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
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%
