Stress-testing
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
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Climate risk and central counterparty risk management
In this paper, the European Association of CCP Clearing Houses discusses several aspects of climate risk, including how climate risk is currently integrated into central counterparty stress testing, the metrics within climate risk and how central…
BoE stress tests: Lloyds just 10bp above minimum CET1 ratio
Bank’s simulated core ratio was just 10bp above requirements at the worst point of a severe recession
Climate risk takes scenario analysis and stress-testing to the next level
Financial institutions are facing several challenges as they prepare for the transition risk journey that will see them evaluating their existing risk and finance solutions. Ludwig Dickens, client advisor, risk business consulting, at SAS discusses what…
Basel turns attention to non-climate-related environment risks
Experts warn of over-complicated framework if nature-related risks are added prematurely
Assessing climate risk in bond portfolios
Running climate stress tests on bond portfolios is a nascent exercise for many asset managers. MSCI looks at what to consider when optimising bond portfolios for climate exposures
TD Bank’s CRO on the importance of staying nimble
Downturn readiness exercises helped bank weather Covid credit shock
RBC applies ‘deep hedging’ to stress scenarios
Risk USA: machine learning model generates more realistic estimates of trading losses
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Banks seek regulatory guidance on climate transition plans
Lack of agreement on how to identify whether borrowers are converging with net zero targets
Big data challenges: unlocking opportunities for banks to rethink their data structures
Revisions to banks’ mandatory capital requirement regulations, to be implemented in a few jurisdictions in January 2023 and globally in 2024, will present these institutions with a massive challenge as the volumes of data they must manage and analyse…
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowd-sourced scenario exercise
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