Segmented upside and downside betas can be used for better risk management
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
GAO says internal tests weaken incentives for banks to create 'meaningful and severe stress tests'
Tests reveal how unwelcome any watering down of key measure would be
CCAR could expose weaknesses in capital planning at foreign banks
Banks unable to calculate impairments under extreme scenarios must answer to regulator
Lender releases new capital plan after worst performance in BoE test
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Timothy Massad: stress tests reveal “quite a bit of diversification” in CCP exposures
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The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Unfunded loans and exposures to suppliers worry credit risk managers
Buy-siders need to plug changes into VAR, say risk managers
Stress tests for asset managers need to be different from those for banks, conference told
Supervisor warns conference banks will need to shape up their Ilaap responses for 2017
Non-maturing liabilities pose problems for banks' IRRBB hedge accounting
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
As stress-test results loom, experts say tackling legacy loans should take priority over bail-in purity
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
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