Stress scenarios
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
Barclays’ SVAR hits record high in 2024
Macro and equities drive end-year spike, but market RWAs decline
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
BoE warns over risk of system-wide cyber attack
Senior policy official Carolyn Wilkins also expresses concern over global fragmentation of bank regulation
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
SVAR spike drives Deutsche’s market RWAs up 20%
Risk positions in the FIC division behind highest figure in over three years
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
US Bancorp ever more reliant on LCR relief
HQLAs would only cover 91.4% of bank’s net cash outflows without Fed’s cap
Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements