Stress-testing
Tariff turmoil tests limits of market risk playbooks
Risk Live: Volatile markets reveal need for quicker data and more dynamic risk limits
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
Taking the sting out: exchanges and CCPs bolster scenario toolkits
As cyber threats ramp up, the world’s largest exchanges re-assume the worst
Fed agrees to unveil stress test models in transparency U-turn
US regulator commits to September 30 deadline for new measures
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
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
BoE plans to link system-wide and individual stress tests
Meanwhile, ECB wants to broaden system-wide stress models to include central counterparties
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp