Stress-testing
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
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
Rush to meet net-zero target could see Sonia, SOFR collapse
Policy inaction could halt benchmarks’ normalisation, BoE biennial exploratory scenario finds
Goldman banker calls for greater CCAR flexibility
Exec says share buybacks should have been permitted for stronger lenders during Covid freeze
How time-step stress-testing helped Deutsche navigate Covid
Market risk chief touts importance of repeat stress-testing over point-in-time methods
A bold step forward in climate-related financial risk supervision
Banque de France’s Denis Beau explains the results of a pilot exercise, and what comes next
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
Climate shocks could cut ‘polluting’ EU funds’ value by 20%
Esma researchers say carbon-intensive funds also pose more of a systemic risk
Euro banks’ trading activities pose lopsided risk to capital – ECB
Elevated downside risks to capital posed by net trading income
UK seeks to take the lead on climate risk standards
New research centre intended to help UK financial firms build better climate risk models
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
EBA stress test to gird banks for long Covid depression
Real GDP projected to fall -12.9% from baseline by 2023
BoE to test UK banks against double-dip Covid recession
Stress simulation falls short of actual coronavirus crisis shock to the UK economy