Stress-testing
Fed reassures US banks on adverse scenario choice criteria
2015 stress test plans released with milder 'adverse' scenario
BlackRock overhauls scenario analysis approach
New approach introduced six months ago, as event risk increases
EBA's Enria: stress tests complicated by multi-speed CRR
State-specific timelines are making it difficult to compare data
Large hedge funds highly exposed to asset-backed securities
Biggest funds also exposed to US junk corporate debt
Fed, CFTC officials back standard stress tests for CCPs
Tarullo and Wetjen say regulators should set standards for CCPs
Regulators plan standard stress tests for CCPs
Stress testing a "priority topic" for CPMI-Iosco as it launches working group
Culture clash: The reasons behind risk culture failure
The dangers of complacency, excessive risk and management failures
CCPs criticise JP Morgan clearing white paper
CME, Eurex, LCH.Clearnet: no need for new loss funds or more CCP capital
General covariance, the spectrum of Riemannium and a stress test calculation formula
This paper proposes a formula for a market stress test of a portfolio.
Black box blues: Fed starts model validation row
"They all fall short," says one expert, as banks try to vet vendor models
Fed orders banks to break open black boxes
Banks struggling to prise information out of vendors after Fed clamps down
Success in Fed stress tests comes with a cost
One bank that passed 2014 test has 50 things to fix before January
In-depth introduction: Stress tests
Fed using CCAR to wield threat of dividend restrictions
Eiopa chairman: stress tests 'preventative' not a 'repair tool'
'Capital is not the answer to everything,' says Bernardino
Eiopa tests insurers' resilience to sovereign stress
Firms to apply sovereign crisis and 'Japanification' scenarios
Stress tests prompt NPL rethink
Banks expected to sell NPLs to improve stress-test resilience
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
Resist the rise of the risk management machines
Overreliance on modern risk management systems, and metrics such as value-at-risk, can blind firms to tectonic structural market shifts. To help alleviate this problem, the use of human judgement and intervention is required, argues Vincent Kaminski
Bank of England still undecided over stress test scenarios
Fixed scenarios "could be procyclical"
Institutional inertia on tail risk measurement
Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe
Applied risk management series: Integrating stress tests with risk management
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…
Finding relationships between macroeconomic variables and losses
Multivariate analysis is a powerful tool for finding significant relationships between business environment and risk losses
Fed set to raise bar for US stress tests
As US regulators prepare to introduce new stress-testing requirements for medium-sized banks, the Fed warns that the largest are still struggling to meet existing standards – and the intent of future stress tests is likely to be dramatically different