Stress-testing
BoE plans to link system-wide and individual stress tests
Meanwhile, ECB wants to broaden system-wide stress models to include central counterparties
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
Bowman won’t commit to stress-testing the tariff shock
Nominated Fed vice-chair stonewalls calls to run ad hoc scenario similar to 2020 Covid test
Market whipsaw spurs calls to rethink buy-side stress-testing
Risk Live Boston: Morgan Stanley and BlackRock urge rethink of scenario assumptions and top-down factor models
BMO US posts lowest LCR among IHCs
Bank’s first disclosure in five years shows reliance on regulatory adjustment to meet minimum requirement
Liquidity risk spikes at CME and OCC
CCPs revised estimated worst-case payment obligation to highest levels on record in Q4
Top 10 operational risks for 2025
The biggest op risks as chosen by senior practitioners – and what they’re doing about them
CCAR methodology may give first glimpse of Fed’s transparency drive
Industry calls for more details on Global Market Shock and new private equity treatment
Fed’s NBFI scenario may be more use than CCAR – experts
Main severely adverse scenario does not capture contagion risks from any squeeze on non-banks
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
Capital One, UBS Americas drive SVAR window adjustments in 2024
Bank duo responsible for over half of all lookback period changes across US banks
Barclays’ SVAR hits record high in 2024
Macro and equities drive end-year spike, but market RWAs decline
Looming US Basel endgame redraft sparks calls to save IRB
Experts say 20 years of data makes credit risk models more appropriate than standardised approach
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
Bank of England mustering unit to model system-wide stresses
Permanent team at UK supervisor will work on buy- and sell-side interactions
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
The effects of climate transition risk on an investment portfolio
The author proposes a means to value portfolios under a climate transition stress test, showing which sectors are likely to be more severely impacted by a transition to a net-zero economy.
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.