Stress scenarios
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
CCP stress tests have found capital shortfalls – Esma
Small increases to stress-test scenarios would have left Ice Clear Europe “in material breach”
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Fed backtracks on CCAR cleared swaps exposure
Regulator had also postponed plan to feed cleared client exposure into G-Sib rankings
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Fed’s outgoing CCAR chief defends stress tests
Timothy Clark rebuffs US Treasury recommendations; supports more transparency
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Stress hedging in portfolio construction
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios