Stress-testing
Setting risk appetite: know what you want
OpRisk examines the practical application of the concepts of risk appetite, the risk ceiling and the risk profile, taking a broad look at who should decide risk appetite, how it should be articulated, in what context (and to what extent) and what the…
The liquidity gap
Regulators are increasing their focus on liquidity risk in response to the financial crisis, but there are questions about whether capital is an effective mitigant for liquidity risks and the nature of the relationship between liquidity risk and bank…
Basel rules set to change
Despite the difficulty and cost involved, even banks accept that aspects of the old financial regulatory regime must yield their place and go. Patrick Blum asks industry consultants what Basel II reforms they expect to see in 2010, and how firms can…
A regime-switching approach to model-based stress testing
Research Papers
Replicating success
The financial crisis drummed home to many banks the advantages of quickly calculating exposures and executing hedges for complex portfolios. As a result, some banks are looking to the insurance sector and their use of replicating portfolios. By Clive…
Make it personal
Operational risk managers need to do more than merely collating and analysing loss data, they need to add value by working towards the firm's business objectives. This can be achieved using stress testing and scenario analysis, which add a human element…
Stress-testing German credit portfolios
Research Papers
US regulators told to expand stress-test programme
Daily news headlines
US regulators told to expand stress-test programme
The US Treasury should expand its bank holding company stress-testing programme to include smaller firms, the Congressional Oversight Panel said on August 11.
Building up Basel II
In an exclusive interview with Risk, Stefan Walter, secretary-general of the Basel Committee on Banking Supervision, discusses everything from capital to pro-cyclicality, while outlining the reform agenda for Basel II. Rob Davies reports
French banks told to reinforce risk management
Daily news headlines
US stress tests: 'serious concerns remain' warns Congress
Daily news headlines
Witches, wizards and stress tests
Even Harry Potter with all his magical skills would have a hard job restoring faith in the global financial system. So in his absence, the US bank stress tests will have to do.