Stress-testing
Webinar: Stress testing
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Operational risk modelling – finally?
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Benchmarking the loss given default parameter for mortgage loan portfolios under stress
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Big losses force banks to rethink energy lending
Unfunded loans and exposures to suppliers worry credit risk managers
Pension funds cautioned on equity-bond correlation
Buy-siders need to plug changes into VAR, say risk managers
Buy-side stress tests ‘not straightforward’ – Irish central banker
Stress tests for asset managers need to be different from those for banks, conference told
Liquidity stress testing ‘essential’, says ECB supervisor
Supervisor warns conference banks will need to shape up their Ilaap responses for 2017
EBA stress test shines light on interest income hedging dilemma
Non-maturing liabilities pose problems for banks' IRRBB hedge accounting
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
Capital hawks advocate bail-in flexibility for Italy
As stress-test results loom, experts say tackling legacy loans should take priority over bail-in purity
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
EBA stress test ‘obsolete’ after Brexit vote
Experts call for a rethink on setting scenarios for future tests
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Interview: Natasha Cazenave on systemic risk in asset management
Chair of Iosco’s investment management committee welcomes “shift in the debate to an activities focus”
Big four consultants help banks jump through CCAR hoops
US banks relying on small group of consulting firms to complete Fed's annual stress test
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
SEC prepares Dodd-Frank buy-side stress tests
Asset manager stress tests aim to measure fund liquidity and contagion risks
European banks pressed to boost model risk management
US model risk management guidelines being increasingly used by banks and regulators elsewhere
CCAR as a powerful business and risk management tool
Firms should use stress testing to challenge assumptions
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Interview: ECB’s Benoît Cœuré on CCP capital and stress testing
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
Enria: new legislation can help bolster AT1 market
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Banks brace for qualitative objections from CCAR
Fed stress tests tilt towards data, governance, internal controls and modelling techniques