Stress-testing
US banks want urgent guidance on capital plan updates
Call for Fed to provide Covid scenarios by start of September, not in fourth quarter
How the Fed’s Covid stress test got stuck in the middle
Experts fear CCAR add-on has neither informed investors nor guided capital management
Foreign banks and Fed at odds on stress test impacts
HSBC North America predicted a loan-loss rate of 2.7%, well below the Fed’s 6% estimate
Banks eye post-pandemic shake-up of op risk scenarios
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Three systemic US banks face stress capital buffer add-ons
JP Morgan, Goldman Sachs, Morgan Stanley will see minimum requirements increase under new regime
US banks lowball loan pain, overstate trading hit in Fed tests
In aggregate, systemic lenders underestimated loan-loss provisions by 18%
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Fed’s Covid scenarios far harsher than latest stress tests
Under worst-case, 25% of banks would have post-stress CET1 ratios of less than 4.8%
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
Banks braced for mystery coronavirus add-on to CCAR
Uncertainty surrounds scenario design and impact on stress capital buffer, dividends
Don’t let a good crisis go to waste
As supervisory stress tests take a backseat, banks look for new ways to gauge extreme risks
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
ECB lays foundations for climate risk capital charge
New guide will influence capital management, but pillar two charges likely to await EBA report
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
Fed missed chance to curb dividends, say ex-supervisors
Instead, changes to stress capital buffer and TLAC rules would allow larger payouts
US banks still fret about cutting liquidity buffers
Fed instructions to banks to run down LCR undermined by governance rules, other liquidity metrics
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Fed defies coronavirus to push ahead with stress test
US diverges from Europe and forces banks to juggle CCAR with real-life operational burden
Measuring economic cycles in data
This paper determines if enough data is available for forecasting or stress testing, a better measure of data length is required.
Bankers say discount window is imperfect fix for UST woes
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit