Stress scenarios
Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
HKMA preparing prescriptive climate stress test for 2023
Regulator plans granular scenario specifications, considers Pillar 2 capital measures
Ukraine nuclear scenarios: black enough for you?
A nuclear strike on Ukraine would open the door to the pit; our readers guessed how markets would fare, with surprising results
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management
US midterm election scenarios: a fright after Halloween
Republican control of Congress could deal “a sharp shock to markets”, analysis suggests
LME most battered in BoE’s stress test
Clearing house close to depleting default fund under toughest credit stress scenario
Banks struggle to assess climate impact on op risk
Supervisors have provided less stress-testing guidance for op risk than for credit risk
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
ALM solution of the year: Moody’s Analytics
Asia Risk Awards 2022
Banks shock commodities by 1,000% in stress-test rethink
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
Erste sees provisions rising fourfold in gas embargo scenario
Vienna-based bank wargamed for an unlikely but devastating halt to Russian gas shipments
Liquidity risk down 34% at the OCC
Projected largest payment obligation set at $6.2 billion for Q1
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
Inflation scenarios, pt II: end of the party
Whether inflation rises or falls, crowdsourced scenarios forecast huge range of outcomes
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
OCC issued $6.1bn VM call in Q4
December options expiration behind highest VM call in six years
Severe but plausible – or not?
In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.
BoE stress tests: Lloyds just 10bp above minimum CET1 ratio
Bank’s simulated core ratio was just 10bp above requirements at the worst point of a severe recession
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise