Stress testing
Covid-19 overwhelmed stress-testing models – banks
Risk USA: lenders forced to apply management overlays to models skewed by macro inputs
Stress testing household debt
The authors estimate a county-level model of household delinquency and use it to conduct “stress tests” of household debt.
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
Climate risk advisory of the year, Asia: PwC
Energy Risk Asia Awards 2020: Banking clients in the region are turning to PwC to tease out unfamiliar climate risk exposures
BoE warns banks: start preparing for a higher carbon price
Risk Live: stress tests should assume rising carbon price, regardless of government policy, says Breeden
Top US-based foreign banks shrink systemic footprints
US units of Barclays, Credit Suisse and Deutsche Bank have cut assets 40% since Q3 2016
Why the US election fallout was not a surprise to banks
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Big moves, but no panic after tumultuous US election
Treasury market saw its largest post-election move since at least 2000 – but liquidity held up
Banks fold climate, pandemic and cyber risks into CCAR
OpRisk North America: anchoring idiosyncratic risks to macro scenarios a challenge, say experts
US election scenarios: meltdown fears if poll contested
Crowd-sourced election scenarios show sharp falls and correlation breaks if Trump challenges results
Thinking the unthinkable – Staying ahead of the crisis curve
Industry leaders discuss the increased value of stress-testing in a world rocked by its second financial crisis in 12 years, the likely emergence of non-financial risks, and how financial institutions can establish efficient and effective stress-testing…
Stress‑testing under Covid‑19
Stress‑testing is a challenging exercise to regularly assess a bank’s level of risk or capital adequacy. Olivier Brucker, Sunayana Mehra and Ed Young of Moody’s Analytics explore an approach that can address this, proposing an alternative methodology…
BoJ stress tests pressure top banks’ buffers
Capital ratios of internationally-active dealers projected to fall to 7.6% in worst-case scenario
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
Fed set to unveil operational resilience proposals
OpRisk North America: banks expected to design idiosyncratic stress scenarios to test resilience
Covid policy risk hangs over bank stress tests
Banks and regulators are second-guessing the policy response to new outbreaks
Banks, regulators call for global climate risk standards
Carney and Winters warn private sector cannot move much further without lawmakers
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
Hypothetical yield curve scenarios for credit stress testing
In this paper, we discuss a set of hypothetical yield curve shift scenarios generated by applying extreme value distributions and a shaping procedure. These statistically derived hypothetical stress scenarios could be susceptible to model risk, leading…
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
Dutch banks seek quantum edge for stress tests
ABN, ING and Rabobank working together; US quantum developer seeks patent for CCAR
Fed’s second round of stress tests to push banks’ limits
Worst-case scenario sees unemployment peak at 12.5%
Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
Covid scenarios, pt II: apocalypse how?
Second crowd-sourced scenario exercise reveals polarised views in equities and FX