Risk
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
A new era for risk: the move toward ‘customer risk experience’
Research into the risk function of the future has identified a strong and accelerated drive to consider risk management as a key enabler of a great customer experience. This evolution has been termed the ‘customer risk experience’
Climate risk models and metrics: what works and what doesn’t?
Panellists at Risk Live Europe 2023 discussed what has been achieved so far in climate risk stress-testing and modelling, alongside what needs tackling next
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
FICC’s liquidity pool $3.8bn short of payment obligation
Clearing unit for MBSs incurred first shortfall on record in January
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
Three FHLBs increase loans by $150bn in Q1
Atlanta, Cincinnati and Dallas dominate first-quarter lending splurge despite accounting for just 37% of total assets
Client margin for swaps hit all-time high in March
Wells Fargo, Goldman and BNP Paribas reach record figures, but overall trend driven by five big dealers
Application of the radial basis function in solving an operational risk management model: investigating the probability of bank survival with risk reserves
The authors investigate the probability of bank survival in relation to operational risk and risk reserve and calculate the amount of risk storage necessary to achieve the desired probability of survival.
Interest rate risk drives ING’s VAR to two-year high
Dutch lender’s trading risk indicator averaged €14 million in Q1
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
US commercial bank deposits see biggest drop in 50 years
Depositors pulled record $317bn in March; preliminary April figures suggest banking system still fragile
Western Alliance, PacWest put $9.8bn of loans up for sale
Embattled banks to dispose of 13% and 10% of respective loan books as strategic options talks continue
FHLB advances hit record $1trn as banks scramble for funding
Schwab, Truist and First Republic heaviest users of Federal facility in Q1
US MMFs’ holdings hit record as deposits flee banks
Funds run by JP Morgan, Fidelity and Goldman behind half of new investments in March
UBS’s risk density set to increase after Credit Suisse takeover
Rescued bank’s RWA-to-exposure ratio rose at faster clip prior to collapse
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1