Stress-testing
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
Santander loan portfolio hardest hit in EBA stress test
Simulated credit losses among 64 lenders top €394bn, up 14% from previous exercise
Ninety-one per cent of banks have specialist teams for resilience risk
Latest survey shows regulatory pressure is driving broader framing of resilience, beyond IT and cyber
LBBW breaches leverage floor in EBA stress test
Adverse scenario would erode €229bn in CET1 capital across 64 banks
Dynamic stress-testing and shock event calibration
Insights, challenges and strategies related to the evolving landscape of market risk management
Is the Netherlands the EU’s main source of counterparty risk?
Experts surprised by results of exploratory scenario in 2025 ECB stress-test
US Fed urged to curb reliance on its own stress-test models
Original architect of DFAST says supervisors should stop putting all their eggs in one basket
Barr slams weakening of bank supervisory tests
Fed governor warns deregulation during boom times ushers in crises
EU firms want clarity on new active account operational test
Final Esma rules reduce burden, but require firms to prepare for higher onshore clearing volumes
Citi leads US banks in lowballing capital hit in stress test
Morgan Stanley and Wells Fargo internal projections also show more capital resilience than Fed’s calculations
Foreign dealers still lag US banks in stress tests
IHCs’ CET1 depletion triples that of domestic participants, despite improved performance since 2024 exercise
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts