Timothy Clark rebuffs US Treasury recommendations; supports more transparency
Machine learning being used to build challenger models for model validation
Dual reviews of stress testing models and scenarios becoming the norm
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
CCP’s risk managers propose a framework for generating extreme but plausible stress scenarios
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions
Banks forced to consider link between risks and macroeconomic factors
Overhaul would kill test failed by eight banks in past three years
Quants propose technique to include stress testing in portfolio allocation
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
PLS-SEM model could test assumptions on shadow banks’ risk role
Fed using qualitative reviews to test compliance with SR 11-7
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Risk models are backward-looking but history won’t repeat itself
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
White paper: FactSet
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.
Amended Financial Choice Act eliminates stress tests for funds, lobbyist claims
This paper focuses on the corporate stress testing models for credit risk.
Second Esma test will apply three scenarios to 17 clearing houses, but concerns remain