Stress-testing
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
Lenders try to move fast and fix things in UK BTL market
Relaxing stress tests when buy-to-let clients switch banks to remortgage is key to avoiding a credit squeeze
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
Unrealised losses down but not out in latest DFAST
Bank of America would emerge from Fed’s scenario with $22 billion net AOCI gain
Climate risk models and metrics: what works and what doesn’t?
Panellists at Risk Live Europe 2023 discussed what has been achieved so far in climate risk stress-testing and modelling, alongside what needs tackling next
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
HKMA launches consultation on green taxonomy
Regulator could use proposal to assess progress of banks towards climate goals
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
SVB failure signals Fed’s need for a speed rethink
Rapid transition to large-bank bracket left supervisors flat footed on rate risk
Liquidity modellers clash on assuming central bank support
Experts disagree on whether internal stress tests should include emergency facilities
Regulating interest rate risk
Over the past decade, regulators have introduced stress tests, liquidity and funding standards – and overhauled rules specifically on IRRBB – that have all had some bearing on the current crisis. But they haven’t yet been implemented fully, or equally,…
Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Kneejerk regulatory reaction to SVB risks lending squeeze
Risk manager at regional bank says any Dodd-Frank 2.0 would be ‘fighting the last war’
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
Market scenario generator of the year: Conning
Conning’s GEMS economic scenario generator allows financial services firms to test business models and investment strategies against a wide variety of economic conditions for portfolio and risk management