Stress-testing
ALM has no formal role in capital planning at a third of banks
Risk Benchmarking study finds banks split three ways on policy mandates, with G-Sibs as likely as small regionals to assign ALM formal responsibility
LME hit hardest in BoE’s latest CCP stress test
Cover 2 liquidation scenario wipes out more than half of default fund
MBSD liquidity risk hits four-year high
Estimated largest payment obligation tops $40bn in Q3
Bowman’s Fed may limp on by after cuts
New vice-chair seeks efficiency, but staff clear-out could hamper functions, say former regulators
BoE lowers capital benchmark for first time in a decade
Drop to 13% envisages 0.5pp decline in Pillar 2 add-ons after Basel III
Market liquidity risk product of the year: Bloomberg
Bringing clarity and defensibility to liquidity risk in a fragmented fixed income market
ECB bank supervisors want top-down stress test that bites
Proposal would simplify capital structure with something similar to US stress capital buffer
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.
CCPs trade blows over EU’s new open access push
Cboe Clear wants more interoperability; Euronext says ‘not with us’
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
Fitch Solutions Toolkit for Credit Risk Leaders: enhancing credit risk management, mitigation and strategic decision-making
The Fitch Solutions Toolkit for Credit Risk Leaders is a practical guide to enhancing visibility, agility and control across the credit risk workflow
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