Stress-testing
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning
This paper develops different techniques for interpreting yield curve scenarios generated from the FRB’s annual CCAR review.
Expanding modelling ops for extending datasets
Risk Technology Awards 2021
EU banks get first taste of new stress test-driven buffer regime
Of the 50 stress-tested lenders, three would fall into the highest Pillar 2 Guidance bucket
EU stress tests: market risk cuts 107bp off average bank’s CET1
SocGen, Deutsche and UniCredit the hardest hit among EU systemic banks
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Risk managers urge consolidation of climate scenarios
Converging financial and corporate scenarios would provide better data for stress-testing
G-Sib regime: something’s broken
US banks are taking the Fed for a ride – it’s time to address the issue
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
Banks’ DFAST performances even out
Analysis shows a more nuanced distribution of post-stress results
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
Stress capital buffer may delay buy-back announcements
Banks with capital ratios more sensitive to CCAR may rethink how they communicate distributions
Rush to meet net-zero target could see Sonia, SOFR collapse
Policy inaction could halt benchmarks’ normalisation, BoE biennial exploratory scenario finds
Goldman banker calls for greater CCAR flexibility
Exec says share buybacks should have been permitted for stronger lenders during Covid freeze
How time-step stress-testing helped Deutsche navigate Covid
Market risk chief touts importance of repeat stress-testing over point-in-time methods
A bold step forward in climate-related financial risk supervision
Banque de France’s Denis Beau explains the results of a pilot exercise, and what comes next
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices