Stress-testing
HKMA preparing prescriptive climate stress test for 2023
Regulator plans granular scenario specifications, considers Pillar 2 capital measures
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
How UBS AM is stress-testing for liquidity risk
Policy shifts in Japan, China among scenarios under review at Swiss asset manager
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Banks and financial powerhouses map out climate risks
A day after the hottest Double Ninth Festival on record in Hong Kong, experts gathered at Asia Risk Live at the Ritz-Carlton to explore how banks can manage climate risk for a net-zero economy
Climate risk managers debate role of client transition plans
Banks hope for guidance on whether to include changes in client behaviour in long-term scenarios
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
LME most battered in BoE’s stress test
Clearing house close to depleting default fund under toughest credit stress scenario
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
Regulator warns on fragmentation of climate risk supervision
International standards needed to support growing preference for Basel Pillar 2 approach
Banks struggle to assess climate impact on op risk
Supervisors have provided less stress-testing guidance for op risk than for credit risk
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
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
Multi-asset class portfolio stress‑testing: best practices and future challenges
Risk and investment professionals will require a sophisticated blend of historical and hypothetical scenarios to navigate today’s volatile markets, says Ivan Mitov, director of risk research at FactSet
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