Stress-testing
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Interview: Natasha Cazenave on systemic risk in asset management
Chair of Iosco’s investment management committee welcomes “shift in the debate to an activities focus”
Big four consultants help banks jump through CCAR hoops
US banks relying on small group of consulting firms to complete Fed's annual stress test
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
SEC prepares Dodd-Frank buy-side stress tests
Asset manager stress tests aim to measure fund liquidity and contagion risks
European banks pressed to boost model risk management
US model risk management guidelines being increasingly used by banks and regulators elsewhere
CCAR as a powerful business and risk management tool
Firms should use stress testing to challenge assumptions
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Interview: ECB’s Benoît Cœuré on CCP capital and stress testing
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
Enria: new legislation can help bolster AT1 market
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Banks brace for qualitative objections from CCAR
Fed stress tests tilt towards data, governance, internal controls and modelling techniques
Asset manager stress tests tough to implement – SEC official
Advanced risk measures such as CoVar may be too complex for some funds
Stress tests at risk of becoming too complex, say bank heads
Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
Bank fraud and the macroeconomy
This paper empirically tests for correlations between fraud and the macroeconomy.
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
LME Clear ‘welcomes scrutiny’ of CCP risk management
Oversight from clearing members is good for central counterparties, says LME Clear CEO
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Random drawing might fill gaps in liquidity risk data
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
Liquidity stress test regime needs attention, say central bankers
DNB experts recommend improved market-wide and bank-specific liquidity stress tests
A risk-based performance pipe dream?
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Custody Risk European Awards 2015: Insurance Custodian of the Year
Sponsored feature: BNP Paribas Securities Service
Liquidity stress testing: a model for a portfolio of credit lines
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
Europe's new supervisory toolkit
Data and transparency remain challenges for EBA