Stress scenarios
Proposed stress protocol for collateral stirs debate
Isda Future Leaders recommendation seen as useful thought exercise, but difficult to implement
High leverage in US REITs raises red flags, says FSB
Non-bank CRE investors at risk from falling prices and refinancing crunch
Tariff turmoil tests limits of market risk playbooks
Risk Live: Volatile markets reveal need for quicker data and more dynamic risk limits
Risk managers say second line needs to identify its value-added
Risk Live: Risk functions must see themselves as problem-solvers, but first line should share responsibility
OCC payment obligations hit record in Q1
Liquid resources up 6.5% as liquidity risk grows to new highs
Risk Technology Awards 2025: Tariff turmoil’s tech effects
Upheaval in US trade policy drove demands for more data, more simulations as supervisors pushed banks to plan for the worst
Passing the port? Drill needs more CCP hands in key test
As few plan to test porting, brokers say finer asset segregation, reg waivers and capital relief would help
Ice US incurs $644m hypothetical stress loss shortfall
Double-member default in worst-case scenario would have overwhelmed CCP’s default fund
Repo facility preferred over discount window, SFOs say
Bank officers shun Fed lending facility amid persistent stigma
Canada Big Five set aside C$1.7bn amid tariff uncertainty
Surge in performing loan provisions pushes allowances past pandemic peak
CCAR at a turning point, but which way is forward?
Banks sniff an opportunity to push the Fed for more openness over stress test models – and seize capital benefits
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
Fed’s NBFI scenario may be more use than CCAR – experts
Main severely adverse scenario does not capture contagion risks from any squeeze on non-banks
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
Capital One, UBS Americas drive SVAR window adjustments in 2024
Bank duo responsible for over half of all lookback period changes across US banks