Stress-testing
Interpretable machine learning for default risk prediction in stress testing
This paper proposes a benchmark model which can be used to predict the forward-looking probability of default of a real-world credit card portfolio.
Banks grapple with Fed’s double deadline on stress-test plans
Supervisor consulting simultaneously on next year’s test scenario and broader model changes
DFAST model changes would boost capital ratios
But category IV banks would suffer amid PPNR overhaul
Citi first to adopt Fed’s two-year SCB average in capital target
Bank’s 12.8% CET1 target reflects proposed averaging rule, pushing capital goal up $2.4bn
BoE plans system-wide test on private credit risks
Bank aims to probe market after First Brands and Tricolor collapses raise alarms about subprime lending
Changes to Fed’s G-Sib surcharge imminent, says Bowman
Stress test consultation will come first, eSLR will follow, Basel III endgame will take longer
An aggregated metrics framework for multicriteria model validation using rolling origin evaluation
The authors apply the rolling origin evaluation framework to model validation in multicriteria settings, where performance must be assessed through various scenarios or forecast targets.
Interest rate risk rules need more work, says Fed’s Barr
Former vice-chair for supervision also tells Risk.net his redraft of Basel III would have softened NMRFs
Morgan Stanley SCB cut unlocks $4.2bn after rare Fed appeal win
Bank’s buffer falls 170bp, widening average cut across US banks subject to the regime to 66bp
DFAST monoculture is its own test
Drop in frequency and scope of stress test disclosures makes it hard to monitor bank mimicry of Fed models
Stress-testing for a new age of banking
Banks are using stress-testing to fulfil supervisory requirements and inform strategic decision-making
Stress-testing for a new age of banking
Banks are using stress-testing to fulfil supervisory requirements and inform strategic decision-making
Banks treat ERM as compulsory – even when it isn’t
More than 80% follow supervisory guidance or expectations for ERM, benchmarking shows
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
Key principles for operational risk stress testing design and evaluation
The author surveys operational stress testing methods and proposes a conceptual framework for designing operational risk stress tests.</li>
No progress on US banks’ EVE transparency in H1
Less than half of banks analysed disclose figures for key measure of long-term interest rate sensitivity
US banks see record relief in stress capital buffers
Average buffer falls 62bp amid strong stress test showing
US G-Sibs’ liquidity buffers swell amid record net cash outflows
Median LCR falls to 114.7%, lowest level since pandemic
How some banks aced the EBA stress test
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
Foreign banks see steeper CET1 declines in US and EU stress tests
Strong starting capital buffers at overseas subsidiaries eroded by outsized hits
Full output floor would cut average CET1 ratio by 70bp
Phased-in Basel III rules would add over €500bn to RWAs at 64 European banks in downturn