Stress-testing
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
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
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Fed may push banks to share cyber loss data
Watchdog doesn’t rule out “mandatory collection” of data on causes and impacts
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis
French banks, jump-to-default and STS for synthetics
The week on Risk.net, October 26–November 1, 2019
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
Stress tests, risk-free rates and cross-currency swaps
The week on Risk.net, October 19–25, 2019
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Following Fed changes, Morgan Stanley’s leverage bind to loosen
Bank chief cannot see capital requirements going up when stress capital buffer and new SLR come into effect
Fund fears linger over guidelines set to avert fire sales
Final Esma framework allays some European asset managers’ concerns
ECB exposes LCR window-dressing
Banks use collateral swaps and term deposits to improve key liquidity ratios
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
How banks game stress tests: the ‘shocking’ truth
Leaked memo exposes effort to swap out risky assets despite Fed’s push to end “window dressing”
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average