Stress scenarios
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
US banks more cramped by stress tests than global peers
Five out of six US dealers adjust capital based on stress scenarios
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio
Deutsche Bank fails CCAR; Goldman and Morgan Stanley scrape by
DB USA hit with qualitative fail, while Goldman and Morgan Stanley face dividend and buyback freeze
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
CCAR winners and losers 2012–17
American Express came off worst under CCAR total capital ratio measure among large and complex firms three years out of six
Citi CRO: stress tests now vital part of bank strategy
Bank has leveraged CCAR to build culture of constant internal stress testing, says Brad Hu
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
IBM and Promontory on stress testing – A valuable exercise making its way in the world of regtech
Sponsored video: Peter Curley and Curt Burmeister, IBM Watson Financial Services
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Barclays’ cyber chief: try to break your own IT defences
Banks “must go beyond vulnerability assessments”, conference hears
CCAR compels CET1 build-up at Capital One
The bank is targeting a CET1 capital ratio of 11% in 2018
CCAR threatens BNY Mellon dividend payout
Fed's test "noticeably more stringent" - BNY Mellon's Santomassimo
US Bancorp unfazed by Fed’s new capital buffer
Lender targets dividend payout ratio of 40%
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure