Stress-testing
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
CCP stress tests could help buy side pick winners
BlackRock exec calls for standardised test before European clearing starts
SEC’s Piwowar doubts CCPs should clear some instruments
Concern that historical price series volatility will not reflect jump-to-default risk
Riskology: What money markets can teach hedge funds
SEC stress tests provide foresight of damaging scenarios and increase time to react
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
Flawed reliance on VAR a systemic risk for insurers
Solvency II has its weaknesses, says writer and consultant René Doff
A dynamic approach to intraday liquidity needs
This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions of…
Santander op risk head aims to "get off bottom rung" after CCAR fail
Bank fell short this year on qualitative op risk governance issues
Q&A: Iosco’s Medcraft on CCP stress testing
CPMI-Iosco launch fact-finding mission on CCP risk management
Cutting Edge introduction: Creative stress testing
New stress-testing method offers a break from decades-old traditio
Who will be the dummy in CCP crash-tests?
Clearing houses, banks and regulators could all be caught in the wreckage
CCP stress-test rifts emerge as review gets underway
Banks, clearing houses and regulators all divided on question of standardised tests
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
EU risks have intensified, financial supervisors warn
Financial sector struggling with macro and operational risks
The hidden risks in dormant Basel III bond rule
Growing sovereign bond portfolios face new risks and mixed messages
SSM: banks fret over giant supervisor's first steps
New watchdog a great idea in theory, banks say - but early months have been difficult
ECB adviser admits more clarity needed over stress tests
Regulators criticised for reticence over why they rejected some test results
Fragile markets prompt banks to rethink tail risk
BNP Paribas and BTMU tout ‘scalable’ stress testing
What if operational risk asked more 'what if' questions?
Banks and regulators urged to up their game in stress tests and scenario analysis
LCH warns on CCP ‘auction risk’
CCP stress tests should consider possibility of failed auctions
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette
UK stress tests to cover trading book illiquidity and FVA
Bank of England to apply price shocks based on unwind periods
Standard stress tests could create more risk, CCPs warn
Diverse products and risk profiles make standardised stress testing difficult