Majority of costs relate to legacy issues, including PPI and RMBS mis-selling
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
Barclays posted the largest quarterly increase of 60bp
World GDP assumed to contract 2.6% in 2019 scenario
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Call for regulators to ditch standard scenarios for more sensitive approach
Severely adverse scenario projects US economy to shrink 9.4%
As crunch FASB meeting approaches, most decline to speculate on outcome
CET1 ratio hits two-year high
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
Originate-to-distribute engine revs up
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
Six of seven stress-tested banks report 50% fall in legal and regulatory reserves
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Stress tests underestimate how twin member failure affects clearing house stability
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Risk USA: Stress tests may attract more scrutiny if LCR and NSFR are scaled back
European Union-wide stress tests deserve a 'Could do better'