Stress-testing
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
Stress tests, risk-free rates and cross-currency swaps
The week on Risk.net, October 19–25, 2019
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Following Fed changes, Morgan Stanley’s leverage bind to loosen
Bank chief cannot see capital requirements going up when stress capital buffer and new SLR come into effect
Fund fears linger over guidelines set to avert fire sales
Final Esma framework allays some European asset managers’ concerns
ECB exposes LCR window-dressing
Banks use collateral swaps and term deposits to improve key liquidity ratios
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
How banks game stress tests: the ‘shocking’ truth
Leaked memo exposes effort to swap out risky assets despite Fed’s push to end “window dressing”
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average
FSB’s Domanski cool on bail-in debt for clearing houses
Global standard-setter says all clearing participants must be incentivised to manage risk
EU stress tests not as tough as financial crisis
Projected GDP decline for Spain, Ireland and Italy milder than during the credit crunch
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
Double jeopardy: CCAR and the countercyclical buffer
Some US regulators want to hike capital while times are good; banks say Fed’s stress test already does
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Banks to Fed: reshape CCAR for peacetime
But Quarles deflates mood: banks using their own models for capital is “not under active consideration”
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
DFAST: JP Morgan accounts for one-fifth of projected losses
Bulk of losses would come from bank’s loan portfolio, projected to incur total losses of $60.3bn
Stress test projected loan losses fall $18bn
Credit card loss rates account for 36.3% of total loan losses under severely adverse scenario
CCAR: JP Morgan, Capital One adjust planned capital actions
Two banks see stressed capital ratios fall below regulatory minimums at first attempt