Stress-testing
Fund fears linger over guidelines set to avert fire sales
Final Esma framework allays some European asset managers’ concerns
ECB exposes LCR window-dressing
Banks use collateral swaps and term deposits to improve key liquidity ratios
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
How banks game stress tests: the ‘shocking’ truth
Leaked memo exposes effort to swap out risky assets despite Fed’s push to end “window dressing”
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average
FSB’s Domanski cool on bail-in debt for clearing houses
Global standard-setter says all clearing participants must be incentivised to manage risk
EU stress tests not as tough as financial crisis
Projected GDP decline for Spain, Ireland and Italy milder than during the credit crunch
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
Double jeopardy: CCAR and the countercyclical buffer
Some US regulators want to hike capital while times are good; banks say Fed’s stress test already does
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Banks to Fed: reshape CCAR for peacetime
But Quarles deflates mood: banks using their own models for capital is “not under active consideration”
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
DFAST: JP Morgan accounts for one-fifth of projected losses
Bulk of losses would come from bank’s loan portfolio, projected to incur total losses of $60.3bn
Stress test projected loan losses fall $18bn
Credit card loss rates account for 36.3% of total loan losses under severely adverse scenario
CCAR: JP Morgan, Capital One adjust planned capital actions
Two banks see stressed capital ratios fall below regulatory minimums at first attempt
Deutsche’s stress-testing models are surprisingly accurate
DB USA's projections precisely matched the Fed’s estimates for the second year in a row
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
