Stress-testing
UK bank securitisation exposures on the rise
Originate-to-distribute engine revs up
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
UK bank misconduct charges dwindle
Six of seven stress-tested banks report 50% fall in legal and regulatory reserves
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
‘Cover 2’ CCP reserve standard inadequate – study
Stress tests underestimate how twin member failure affects clearing house stability
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
LCR rollback puts onus on liquidity stress tests
Risk USA: Stress tests may attract more scrutiny if LCR and NSFR are scaled back
In EU stress tests, everyone’s a loser
European Union-wide stress tests deserve a 'Could do better'
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
Intesa Sanpaolo continues battle against bad loans
The ratio of NPLs to total exposures dropped to 4.5% at end-September
Big EU banks lost €22bn capital on IFRS 9 switch
Italian banks saw the largest capital depletion, losing €9 billion (8.9%) of CET1 capital on the transition
German banks biggest losers in EBA stress tests
Eight German lenders projected to shed €41 billion in CET1 capital under adverse scenario
Deutsche, Barclays breach leverage ratios in EBA stress tests
Five banks fall below 3% regulatory minimum level
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
Esma preps stricter stress-testing rules for EU funds
New guidance expected to be released for consultation in early 2019
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
SunTrust’s ‘swim lanes’ keep exposures in line
Bank has five bands of risk – a granular approach it says makes it easier to control exposures
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
A new model for bank loan loss given default by leveraging time to recovery
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021