Stress-testing
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
Data gap leaves six foreign banks in US regulatory limbo
New Fed FBO proposal relies on an indicator that banks have not yet been reporting
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Escalating global threats make for harsher BoE stress test
World GDP assumed to contract 2.6% in 2019 scenario
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
We need a different approach to supervisory stress-testing
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
‘Cover 2’ CCP reserve standard inadequate – study
Stress tests underestimate how twin member failure affects clearing house stability
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
LCR rollback puts onus on liquidity stress tests
Risk USA: Stress tests may attract more scrutiny if LCR and NSFR are scaled back
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
Big EU banks lost €22bn capital on IFRS 9 switch
Italian banks saw the largest capital depletion, losing €9 billion (8.9%) of CET1 capital on the transition
German banks biggest losers in EBA stress tests
Eight German lenders projected to shed €41 billion in CET1 capital under adverse scenario
Deutsche, Barclays breach leverage ratios in EBA stress tests
Five banks fall below 3% regulatory minimum level