Stress-testing
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
Treasury official calls on Fed to review FBO rules
Senate bill aims to relax US Sifi threshold but offers no relief for foreign banks
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
A risk-sensitive approach for stressed transition probability matrixes
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Fed backtracks on CCAR cleared swaps exposure
Regulator had also postponed plan to feed cleared client exposure into G-Sib rankings
Standard bearer – Leading the IFRS 17 charge
With wins for regulatory reporting, economic scenario generation, Solvency II and stress-testing products in the 2018 Risk.net Market Technology Awards, Moody’s Analytics is well positioned to meet the demands of changing regulation such as IFRS 17
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance
Banks, regulators clash over stress testing
OCC and NY Fed officials defend regulatory stress tests despite criticism from bankers
Fed weighs greater transparency on CCAR models
Disclosing model-implied losses would aid capital planning, bankers say
Fed’s outgoing CCAR chief defends stress tests
Timothy Clark rebuffs US Treasury recommendations; supports more transparency
Banks tout machine learning amid regulatory concerns
Machine learning being used to build challenger models for model validation
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
UC’s Bookstaber urges use of agent-based models
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Extremely (un)likely: a plausibility approach to stress testing
CCP’s risk managers propose a framework for generating extreme but plausible stress scenarios
UK proposes gold plating of liquidity risk rules
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
Investment funds would magnify a liquidity crisis – BoE
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions
CCAR helps identify op risks, banking experts say
Banks forced to consider link between risks and macroeconomic factors