Stress-testing
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
Intesa Sanpaolo continues battle against bad loans
The ratio of NPLs to total exposures dropped to 4.5% at end-September
Big EU banks lost €22bn capital on IFRS 9 switch
Italian banks saw the largest capital depletion, losing €9 billion (8.9%) of CET1 capital on the transition
German banks biggest losers in EBA stress tests
Eight German lenders projected to shed €41 billion in CET1 capital under adverse scenario
Deutsche, Barclays breach leverage ratios in EBA stress tests
Five banks fall below 3% regulatory minimum level
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
Esma preps stricter stress-testing rules for EU funds
New guidance expected to be released for consultation in early 2019
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
SunTrust’s ‘swim lanes’ keep exposures in line
Bank has five bands of risk – a granular approach it says makes it easier to control exposures
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
A new model for bank loan loss given default by leveraging time to recovery
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
OCC’s move to ‘Cover 2’ won’t cost members more, CRO says
New clearing fund methodology will shift cost burden to firms that take more tail risk
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Goldman, Morgan Stanley push for CCAR changes
Balance sheets will shrink in a crisis, not grow, trading houses argue
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
US banks more cramped by stress tests than global peers
Five out of six US dealers adjust capital based on stress scenarios
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
Citi and Wells Fargo wary of stress capital buffer
Recent CCAR tests point to higher CET1 requirements