Stress-testing
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Study fuels doubt over benefits of climate risk-weights
Research finds both green supporting factor and carbon penalising factor have drawbacks
EBA set to unveil revised hybrid stress-test framework
Firms fear new bank-run leg in 2023 exam could prove an operational headache
A survey of machine learning in credit risk
This paper surveys the impressively broad range of machine learning methods and application areas for credit risk.
FSB debates how to fit climate risk into capital rules
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
ECB’s stress capital buffer still a ‘black box’ – banks
National regulators retain wide latitude to set Pillar 2 Guidance under new rules
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning
This paper develops different techniques for interpreting yield curve scenarios generated from the FRB’s annual CCAR review.
Expanding modelling ops for extending datasets
Risk Technology Awards 2021
EU banks get first taste of new stress test-driven buffer regime
Of the 50 stress-tested lenders, three would fall into the highest Pillar 2 Guidance bucket
EU stress tests: market risk cuts 107bp off average bank’s CET1
SocGen, Deutsche and UniCredit the hardest hit among EU systemic banks
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Risk managers urge consolidation of climate scenarios
Converging financial and corporate scenarios would provide better data for stress-testing
G-Sib regime: something’s broken
US banks are taking the Fed for a ride – it’s time to address the issue
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
Banks’ DFAST performances even out
Analysis shows a more nuanced distribution of post-stress results
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
Stress capital buffer may delay buy-back announcements
Banks with capital ratios more sensitive to CCAR may rethink how they communicate distributions