Stress-testing
Time to get back to the real business of stress testing?
Bank supervisors should focus on improving internal stress-testing all year round
Risk managers need commercial nous, says Mizuho's Berry
Mizuho International CRO thinks front line and risk management must act in partnership
Esma's Maijoor welcomes calls for broader buy-side stress tests
Panellists at Bank of England forum urge asset managers to take more open approach
CCAR leaves modelling teams short of time and staff
Fed stress tests are a "perfect storm of pressure"
Stress tests need macro-prudential focus, say central bankers
Tests should link banks and real economy, say ECB's Constancio and BoE's Brazier
New BoE stress tests will be tougher during economic upturns
Stress tests designed to move counter-cyclically with financial cycle
Consultancy of the year: EY
Consultancy firm offers joined-up approach to ERM and operational risk issues
US hedge fund OTC notionals grew by $1.2trn in 2013–14
Increase in notionals among US hedge funds bucks trend seen globally
Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
CCP stress tests could help buy side pick winners
BlackRock exec calls for standardised test before European clearing starts
SEC’s Piwowar doubts CCPs should clear some instruments
Concern that historical price series volatility will not reflect jump-to-default risk
Riskology: What money markets can teach hedge funds
SEC stress tests provide foresight of damaging scenarios and increase time to react
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
Flawed reliance on VAR a systemic risk for insurers
Solvency II has its weaknesses, says writer and consultant René Doff
A dynamic approach to intraday liquidity needs
This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions of…
Santander op risk head aims to "get off bottom rung" after CCAR fail
Bank fell short this year on qualitative op risk governance issues
Q&A: Iosco’s Medcraft on CCP stress testing
CPMI-Iosco launch fact-finding mission on CCP risk management
Cutting Edge introduction: Creative stress testing
New stress-testing method offers a break from decades-old traditio
Who will be the dummy in CCP crash-tests?
Clearing houses, banks and regulators could all be caught in the wreckage
CCP stress-test rifts emerge as review gets underway
Banks, clearing houses and regulators all divided on question of standardised tests
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
EU risks have intensified, financial supervisors warn
Financial sector struggling with macro and operational risks
The hidden risks in dormant Basel III bond rule
Growing sovereign bond portfolios face new risks and mixed messages