Stress-testing
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
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
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
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Stress test results show Fed toughening up
Median post-stress ratio of 7.9% the lowest pass mark to date
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
Fed stress tests stretch State Street, Goldman, Morgan Stanley
State Street worst performer among complex firms on capital; Goldman and Morgan Stanley on SLR
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
European banks face ‘bottleneck’ to complete EBA stress test
New accounting rules and supervisor demands squeeze teams prepping for 2018’s exercise
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
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
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec
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