In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
A generic stress testing framework with related economic shocks and possible regulatory intervention
In this paper, the authors develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention.
The crisis over a decade gone, the Fed’s ‘tailoring’ proposal will greatly relax rules on the mid-tier
Ex-British Army chief tells banks: “You need to see how your peers react when the pressure is on”
Watchdog says banks must prove they can stick to tolerance limits; cyber stress test planned
Exposures balloon after three quarters of decline
Ebbing income expectations would erode future capital ratios
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
New Fed FBO proposal relies on an indicator that banks have not yet been reporting
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
Plan would have allowed smaller lenders to reduce capital impact of expected losses
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Losses of over 57% estimated for high-risk accounts
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