Stress-testing
EBA eyes top-down stress test for credit risk
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
Banks shock commodities by 1,000% in stress-test rethink
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
DFAST 2022 leverage results widest in four years
Distribution of post-stress leverage ratios sees expanding gap between top and bottom performers
Share of required margin increases at top EU CCP members
Number of clearing members with total requirements of €10bn and above has been increasing since 2017
Concentration risk add-ons too low at Ice and ECC, says regulator
Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
Fog of war: the struggle to manage geopolitical risk
Financial firms ponder how to factor the Ukraine conflict and wider global unrest into stress-testing
Correlations in operational risk stress testing: use and abuse
The paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
Inflation scenarios, pt II: end of the party
Whether inflation rises or falls, crowd-sourced scenarios forecast huge range of outcomes
The rise of non-financial risks
Naeem Siddiqi, senior adviser, risk management, risk research and quantitative solutions at SAS, discusses the effectiveness of stress-testing as a risk management tool in rapidly changing markets, the role of new technologies in developing robust data…
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Peacetime stress‑testing applications
Leo Sadovy, analytics consultant, risk, finance and banking, and solution lead for SAS‘s scenario analysis and stress-testing solution, sets out the key role of strong decision-making and the importance of being able to innovate and respond to adverse…
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
Net zero banks playing catch-up in ECB climate review
Banks that aim to align to Paris Agreement still fall short on climate disclosures
What do regulators need from governments on climate change?
To reduce the number of climate risk scenarios, lawmakers need to start being more specific
Clearing house of the year: OCC
Risk Awards 2022: Risk management reforms help clearing house weather meme stock volatility