Stress scenarios
From Pillar to Pillar… to post: where now for op risk in Europe?
Experts think enhanced Pillar 2 charge informed by Dora would be more useful than a blunt Pillar 1
DB USA undershoots Fed capital decline by 3.4pp in DFAST 2026
Nine banks project smaller CET1 falls than the Fed
DFAST averaging reform would hit 75% of tested banks
Sixteen out of 22 lenders tested in both 2025 and 2026 would face higher CET1 depletion
AI agents could become credit risk managers… almost
Risk Live: Bankers say credit stress-testing could be automated, but humans remain accountable
Eleven US banks end DFAST at key capital lows
BMO US, RBC US and TD US only firms to also stay at nadirs across leverage and SLR ratios
DFAST 2026: SCB freeze denies 16 banks capital relief
Lower DFAST depletion would have cut buffers for many, but First Citizens avoids higher SCB
Six banks fall short of full DFAST buffers
DB USA and HSBC North America post largest all-in CET1 shortfalls, while new entrant First Citizens also misses
AmEx posts highest LCR among US banks on return to disclosure
Retail and contractual flows dominate 30-day stress scenario
ECC risk chief says Iran crisis will not delay VAR transition
Incorporating 2022 Ukraine shock ensured new margin model is robust in face of energy volatility
Derivatives flow spike reshapes Al Rajhi Bank’s liquidity profile
Sudden jump in stressed inflows and outflows cuts net cash outflows to lowest level since 2021
Metal rally lifts LME stress losses to record levels
Stress losses and liquidity obligations hit records in Q4
Methodology change drives Eurex liquidity obligation to record
Limiting offsets to private-sector securities pushes estimated hypothetical obligation up 79%
A dual backtesting framework for quantifying nested model error and unlocking capital efficiency
The author puts forward a framework for dual backtesting, in which single-blind backtesting assesses core models and double-blind backtesting evaluates the whole system.
ForexClear stress losses surge as member concentration rises
Top five member share of IM jumps 9pp as stress losses hit six-year high
Stressed liquidity flows swell at Canadian banks
Derivative and repo activity push up LCR cash flows at RBC, TD and Scotiabank
DFAST 2026 softens again, but SCB freeze blocks capital gains
Banks to miss out on any capital relief from gentler scenario
SGX fortifies its defences to ward off tomorrow’s outages
Exchange operator fosters “breach mentality” to help prepare for business disruption, explains risk chief
BoE’s Ramsden defends UK’s ring-fencing regime
Deputy governor also says regulatory reform is coming to the UK gilt repo market
Barclays runs closest to capital hurdles in BoE stress test
UK lender still weakest against required minimums but widens buffers from prior exercise
MBSD liquidity risk hits four-year high
Estimated largest payment obligation tops $40bn in Q3
Capital One’s LCR strengthens post-Discover acquisition
Projected retail outflows rise one-third after card-business deal, but liquidity buffers hold up