Stress-testing
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
Supervisory stress testing for central counterparties: a macroprudential, two-tier approach
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
Show don’t tell: BoE’s climate stress test dilemma
Making the test easier to run could come at the expense of building risk management capacity
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
Esma trains beam on investment fund risks
Officials look to regulatory reporting for better grasp of fund leverage and liquidity
Stress buffer will not upend Citi’s capital plans
CET1 capital at lowest level since Q3 2013
Fed’s rush to complete stress buffer likely to unnerve banks
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult
Review of 2019: shaken, not stirred
The market survived a cocktail of hits. But is a hangover on the way?
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
UK banks could withstand leveraged loan crisis
Losses projected to hit overall CET1 capital ratios by 40 basis points
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
UK banks pass BoE stress tests
Dividend and AT1 bond coupon cuts needed to clear minimum requirements
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Fed may push banks to share cyber loss data
Watchdog doesn’t rule out “mandatory collection” of data on causes and impacts
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis
French banks, jump-to-default and STS for synthetics
The week on Risk.net, October 26–November 1, 2019
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
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