Stress-testing
Liquidity modellers clash on assuming central bank support
Experts disagree on whether internal stress tests should include emergency facilities
Regulating interest rate risk
Over the past decade, regulators have introduced stress tests, liquidity and funding standards – and overhauled rules specifically on IRRBB – that have all had some bearing on the current crisis. But they haven’t yet been implemented fully, or equally,…
Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Kneejerk regulatory reaction to SVB risks lending squeeze
Risk manager at regional bank says any Dodd-Frank 2.0 would be ‘fighting the last war’
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
Market scenario generator of the year: Conning
Conning’s GEMS economic scenario generator allows financial services firms to test business models and investment strategies against a wide variety of economic conditions for portfolio and risk management
HKMA preparing prescriptive climate stress test for 2023
Regulator plans granular scenario specifications, considers Pillar 2 capital measures
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
How UBS AM is stress-testing for liquidity risk
Policy shifts in Japan, China among scenarios under review at Swiss asset manager
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Banks and financial powerhouses map out climate risks
A day after the hottest Double Ninth Festival on record in Hong Kong, experts gathered at Asia Risk Live at the Ritz-Carlton to explore how banks can manage climate risk for a net-zero economy
Climate risk managers debate role of client transition plans
Banks hope for guidance on whether to include changes in client behaviour in long-term scenarios
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
LME most battered in BoE’s stress test
Clearing house close to depleting default fund under toughest credit stress scenario
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
Regulator warns on fragmentation of climate risk supervision
International standards needed to support growing preference for Basel Pillar 2 approach
Banks struggle to assess climate impact on op risk
Supervisors have provided less stress-testing guidance for op risk than for credit risk
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024