Stress-testing
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
US banks’ performance in latest DFAST worst in six years
Fed blames higher credit card delinquencies, riskier corporate lending and lower revenue
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Capital One, Discover loan portfolios hardest hit in Fed stress test
Simulated losses wipe out more than 1/6th of respective exposures
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Fed strengthens stress tests with focus on counterparty defaults
The Fed's 2024 stress test examines how banks handle complex risks, such as WWR and jumps at default. Dmitry Pugachevsky, head of research at Quantifi, discusses how the integration of these factors into XVA calculations provides a more comprehensive…
Drilling for default: dry run gives CCPs a Lehman-like lesson
Member default simulation finds standardisation and porting could help in a crisis, and moots unscheduled repeat drill
US large bank CRE risks could be understated, say researchers
Community banks have the most direct exposure, but systemic banks extend more credit to REITs
Op risk hits all-time highs at three Nordic banks
Regular updates drive record rises at Handelsbanken, Nordea and SEB
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management