Stress-testing
Extremely (un)likely: a plausibility approach to stress testing
CCP’s risk managers propose a framework for generating extreme but plausible stress scenarios
UK proposes gold plating of liquidity risk rules
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
Investment funds would magnify a liquidity crisis – BoE
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions
CCAR helps identify op risks, banking experts say
Banks forced to consider link between risks and macroeconomic factors
US Treasury stance on CCAR a return to ‘bad old days’
Overhaul would kill test failed by eight banks in past three years
The untapped potential of stress tests
Quants propose technique to include stress testing in portfolio allocation
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'