Stress-testing
Industry should work together on operational resilience – BoE
Regulator to “shortly” issue report highlighting opportunities for op risk collaboration
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
A generic stress testing framework with related economic shocks and possible regulatory intervention
In this paper, the authors develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention.
US mid-sized banks may bulk up. (Is that safe?)
The crisis over a decade gone, the Fed’s ‘tailoring’ proposal will greatly relax rules on the mid-tier
It’s a dangerous world: stress-test your managers
Ex-British Army chief tells banks: “You need to see how your peers react when the pressure is on”
BoE to scrutinise banks’ op risk tolerance limits
Watchdog says banks must prove they can stick to tolerance limits; cyber stress test planned
Leverage ratio target slips further out of Deutsche’s reach
Exposures balloon after three quarters of decline
Japanese banks growing less resistant to financial crises
Ebbing income expectations would erode future capital ratios
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
Data gap leaves six foreign banks in US regulatory limbo
New Fed FBO proposal relies on an indicator that banks have not yet been reporting
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Fed DFAST models project huge credit card losses
Losses of over 57% estimated for high-risk accounts
Legal charges topped £6 billion at UK banks in 2018
Majority of costs relate to legacy issues, including PPI and RMBS mis-selling
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Quantification of model risk in stress testing and scenario analysis
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
Escalating global threats make for harsher BoE stress test
World GDP assumed to contract 2.6% in 2019 scenario
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Fed stress tests tougher in 2019
Severely adverse scenario projects US economy to shrink 9.4%