Stress-testing
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
A new model for bank loan loss given default by leveraging time to recovery
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
OCC’s move to ‘Cover 2’ won’t cost members more, CRO says
New clearing fund methodology will shift cost burden to firms that take more tail risk
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Goldman, Morgan Stanley push for CCAR changes
Balance sheets will shrink in a crisis, not grow, trading houses argue
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
US banks more cramped by stress tests than global peers
Five out of six US dealers adjust capital based on stress scenarios
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
Citi and Wells Fargo wary of stress capital buffer
Recent CCAR tests point to higher CET1 requirements
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio