Stress-testing
Citi CRO: stress tests now vital part of bank strategy
Bank has leveraged CCAR to build culture of constant internal stress testing, says Brad Hu
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec
IBM and Promontory on stress testing – A valuable exercise making its way in the world of regtech
Sponsored video: Peter Curley and Curt Burmeister, IBM Watson Financial Services
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Measuring system-wide resilience of central counterparties
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
Zurich builds up capital buffers
Insurer edges toward over-capitalisation on its own measures
Fed risk rating system unifies stress testing and 3LOD
Some banks have qualms over potential downgrades and overlap between first and second lines
De Galhau: EU needs to stress test non-bank liquidity
Banque de France will examine risk of pension schemes redeeming fund assets, says governor
US Bancorp unfazed by Fed’s new capital buffer
Lender targets dividend payout ratio of 40%
Quarles: Fed would recalibrate eSLR if Crapo bill passes
Senate or House changes to CCAR could also affect Fed’s new stress capital buffer
Fed’s new capital buffer refocuses on risk
Low-risk activities and larger management buffers likely to become more attractive
New BoE stress test puts focus on banks critical to UK
Annual test will attempt to gauge impact of IFRS 9
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