Stress-testing
Barclays runs closest to capital hurdles in BoE stress test
UK lender still weakest against required minimums but widens buffers from prior exercise
BoE lowers capital benchmark for first time in a decade
Drop to 13% envisages 0.5pp decline in Pillar 2 add-ons after Basel III
Market liquidity risk product of the year: Bloomberg
Bringing clarity and defensibility to liquidity risk in a fragmented fixed income market
ECB bank supervisors want top-down stress test that bites
Proposal would simplify capital structure with something similar to US stress capital buffer
Interpretable machine learning for default risk prediction in stress testing
This paper proposes a benchmark model which can be used to predict the forward-looking probability of default of a real-world credit card portfolio.
CCPs trade blows over EU’s new open access push
Cboe Clear wants more interoperability; Euronext says ‘not with us’
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
Fitch Solutions Toolkit for Credit Risk Leaders: enhancing credit risk management, mitigation and strategic decision-making
The Fitch Solutions Toolkit for Credit Risk Leaders is a practical guide to enhancing visibility, agility and control across the credit risk workflow
Banks grapple with Fed’s double deadline on stress-test plans
Supervisor consulting simultaneously on next year’s test scenario and broader model changes
DFAST model changes would boost capital ratios
But category IV banks would suffer amid PPNR overhaul
Citi first to adopt Fed’s two-year SCB average in capital target
Bank’s 12.8% CET1 target reflects proposed averaging rule, pushing capital goal up $2.4bn
BoE plans system-wide test on private credit risks
Bank aims to probe market after First Brands and Tricolor collapses raise alarms about subprime lending
Changes to Fed’s G-Sib surcharge imminent, says Bowman
Stress test consultation will come first, eSLR will follow, Basel III endgame will take longer
An aggregated metrics framework for multicriteria model validation using rolling origin evaluation
The authors apply the rolling origin evaluation framework to model validation in multicriteria settings, where performance must be assessed through various scenarios or forecast targets.
Interest rate risk rules need more work, says Fed’s Barr
Former vice-chair for supervision also tells Risk.net his redraft of Basel III would have softened NMRFs
Morgan Stanley SCB cut unlocks $4.2bn after rare Fed appeal win
Bank’s buffer falls 170bp, widening average cut across US banks subject to the regime to 66bp
DFAST monoculture is its own test
Drop in frequency and scope of stress test disclosures makes it hard to monitor bank mimicry of Fed models
Stress-testing for a new age of banking
Banks are using stress-testing to fulfil supervisory requirements and inform strategic decision-making
Stress-testing for a new age of banking
Banks are using stress-testing to fulfil supervisory requirements and inform strategic decision-making
Banks treat ERM as compulsory – even when it isn’t
More than 80% follow supervisory guidance or expectations for ERM, benchmarking shows
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises