Experts call for a rethink on setting scenarios for future tests
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Chair of Iosco’s investment management committee welcomes “shift in the debate to an activities focus”
US banks relying on small group of consulting firms to complete Fed's annual stress test
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
Asset manager stress tests aim to measure fund liquidity and contagion risks
US model risk management guidelines being increasingly used by banks and regulators elsewhere
Firms should use stress testing to challenge assumptions
Search for plausible stress scenarios leads Natixis risk managers in a new direction
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Fed stress tests tilt towards data, governance, internal controls and modelling techniques
Advanced risk measures such as CoVar may be too complex for some funds
Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
This paper empirically tests for correlations between fraud and the macroeconomy.
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Oversight from clearing members is good for central counterparties, says LME Clear CEO
This paper develops optimal bounds of the expectation equity-to-asset ratio.
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
DNB experts recommend improved market-wide and bank-specific liquidity stress tests
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This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.