Stress scenarios
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio
Deutsche Bank fails CCAR; Goldman and Morgan Stanley scrape by
DB USA hit with qualitative fail, while Goldman and Morgan Stanley face dividend and buyback freeze
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
CCAR winners and losers 2012–17
American Express came off worst under CCAR total capital ratio measure among large and complex firms three years out of six
Citi CRO: stress tests now vital part of bank strategy
Bank has leveraged CCAR to build culture of constant internal stress testing, says Brad Hu
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
IBM and Promontory on stress testing – A valuable exercise making its way in the world of regtech
Sponsored video: Peter Curley and Curt Burmeister, IBM Watson Financial Services
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Barclays’ cyber chief: try to break your own IT defences
Banks “must go beyond vulnerability assessments”, conference hears
CCAR compels CET1 build-up at Capital One
The bank is targeting a CET1 capital ratio of 11% in 2018
CCAR threatens BNY Mellon dividend payout
Fed's test "noticeably more stringent" - BNY Mellon's Santomassimo
US Bancorp unfazed by Fed’s new capital buffer
Lender targets dividend payout ratio of 40%
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Fed backtracks on CCAR cleared swaps exposure
Regulator had also postponed plan to feed cleared client exposure into G-Sib rankings
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Fed’s outgoing CCAR chief defends stress tests
Timothy Clark rebuffs US Treasury recommendations; supports more transparency