Stress-testing
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
Adjusted for AOCI, ratios at five regional banks fall short
Impact of reinclusion on CET1 capital ratio would trip up Truist, Ally and others
Future-proofing regional and tier two banks: harnessing technology for agile stress-testing and regulatory compliance
The financial landscape is in flux. As the shadow of the regional bank crisis lingers, regulatory expectations are evolving rapidly. This webinar delves into the convergence of heightened regulations, the pivotal role of technology and how financial…
UN climate risk chief calls for shorter-term stress tests
But banks say heavy modelling demands will take time to respond to adequately
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
The Fed’s stress-test models are inaccurate. Something has to change
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Do all roads lead to multi-scenario Fed stress tests?
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been constant change within the landscape of financial reporting, and IFRS 9 has proven a critical component. Watch this webinar to find out how financial institutions can effectively implement IFRS 9 while remaining forward-looking and…
Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Using the vine copula, the authors put forward a nonparametric means to generate and/or validate hypothetical stress scenarios.
Banks fear G-Sib tweak will increase capital volatility
Fed proposal would raise capital surcharge in 10bp increments
Eight US banks slapped with higher capital buffers
US units of Deutsche and UBS hit with highest SCBs yet imposed by the Fed
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
Risk analytics are key to banks’ digital transformation
Market volatility and external influences are changing the way banks manage risk. SAS Australia explores how adopting digital transformation, alongside a dynamic and agile analytics-first approach, can provide banks with real-time data for identifying…
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender