Stress-testing
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%
Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Goldman restores capital buffer after Trump tax hit
CET1 ratio hits two-year high
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
We need a different approach to supervisory stress-testing
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
UK bank securitisation exposures on the rise
Originate-to-distribute engine revs up
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
UK bank misconduct charges dwindle
Six of seven stress-tested banks report 50% fall in legal and regulatory reserves
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
‘Cover 2’ CCP reserve standard inadequate – study
Stress tests underestimate how twin member failure affects clearing house stability
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
LCR rollback puts onus on liquidity stress tests
Risk USA: Stress tests may attract more scrutiny if LCR and NSFR are scaled back
In EU stress tests, everyone’s a loser
European Union-wide stress tests deserve a 'Could do better'
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample