Stress-testing
Stress hedging in portfolio construction
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
New light cast on shadow bank risk
PLS-SEM model could test assumptions on shadow banks’ risk role
Model risk falls under the CCAR microscope
Fed using qualitative reviews to test compliance with SR 11-7
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Why multi-asset managers shouldn’t count on the past
Risk models are backward-looking but history won’t repeat itself
ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
White paper: The financial paradigm shift
White paper: FactSet
A network model for central counterparty liquidity risk stress testing under incomplete information
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Dodd-Frank rollback targets asset manager stress tests
Amended Financial Choice Act eliminates stress tests for funds, lobbyist claims
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
This paper focuses on the corporate stress testing models for credit risk.
Uniform EU stress test backed by CCPs and banks
Second Esma test will apply three scenarios to 17 clearing houses, but concerns remain
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
This paper uses a model combination approach to develop robust macrofinancial models for credit risk stress testing.
Stress testing under IFRS 9: a field guide
Higher volatility of loan loss provisioning will complicate financial planning and hit capital
Why investors need multiple betas
Segmented upside and downside betas can be used for better risk management
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Point-in-time probability of default term structure models for multiperiod scenario loss projection
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
Exclude internal stress tests from CCAR, says US auditor
GAO says internal tests weaken incentives for banks to create 'meaningful and severe stress tests'
Eiopa stress test highlights UK reliance on matching adjustment
Tests reveal how unwelcome any watering down of key measure would be
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
UK banks under pressure to use IFRS 9 in stress test
Banks unable to calculate impairments under extreme scenarios must answer to regulator
RBS must raise £2bn after failing stress tests
Lender releases new capital plan after worst performance in BoE test
Banks and CCPs clash over non-default losses
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
CCP default risks not correlated, CFTC finds
Timothy Massad: stress tests reveal “quite a bit of diversification” in CCP exposures