Stress scenarios
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
LME distressed at severity of Esma stress tests
Watchdog’s simulated price shocks said to be unprecedented in metals markets
At top US banks, stress test capital hit driven by dividends
Shareholder giveaways make up bulk of post-stress capital losses at JP Morgan, Morgan Stanley, Bank of America
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
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
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
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
Q&A: Ron Dembo on crowd-spotting black swans
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
UK bank ECL scenarios may lowball coronavirus impact
BoE offers IFRS 9 relief on virus-hit loans
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights. The model and approach are validated by an empirical example, where they…
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
Funds try to predict behaviour of mystery investors
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
US banks anticipate fresh guidance on resolution liquidity
Consultation in first half of 2020 expected to clarify intra-group and forecasting requirements
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
CECL drains $2.9bn from Capital One’s CET1
Core capital ratio to fall 16 basis points following switch to new accounting standard
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
UK banks pass BoE stress tests
Dividend and AT1 bond coupon cuts needed to clear minimum requirements
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures