Stress-testing
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
Webinar: Stress testing
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Operational risk modelling – finally?
Sponsored feature: Elseware
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