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Date: 9-23-2014   Visits: 1968 What Stress Testing is NotWith banks getting ready for the year-end regulatory stress testing, it is worth looking at what stress testing is and, more importantly, what it is not....
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Date: 6-25-2014   Visits: 1108 Stress Testing after Five YearsBorn of necessity during the depths of the financial crisis as part of an effort to restore confidence in the U.S. financial system, supervisory stress testing has in the intervening five years become...
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Date: 3-18-2014   Visits: 743 Stress Testing And Interest Rate Risk Models: A Multi-Factor Stress Testing ExampleMajor banks around the world are required to use multi-factor interest rate models by regulators like the Bank for International Settlements and the Federal Reserve.We use a 9-factor interest rate mod...
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Date: 2-23-2014   Visits: 710 Prognoz Delivers Advanced Bank Stress Testing Application to Help Prevent Financial CrisesThe MPST application uses balance sheet and macro data as well as programmed equations to analyze and predict risk for multiple scenarios. Specifically, the application allows users to: Perform advan...
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Date: 8-20-2013   Visits: 1075 SEC Reform Proposal on Stress Testing; Some Enhancements Warranted Summary of the provisions of SEC proposal on Money Market Fund Reform that pertain to stress testing requirements....
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Date: 7-23-2013   Visits: 916 CCAR Stress Testing: The Devil Lies in The Data?So much has been written about the models being the source of all evils in the risk management space. Surely the breaking down of correlation matrices was responsible to a large extent in the erroneou...
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Date: 6-12-2013   Visits: 556 Who is Responsible for Stress Testing?As more institutions implement loan portfolio stress testing, an issue that could cause problems is overarching responsibility. Who in the bank owns stress testing? This problem can be traced to the ...
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Date: 5-29-2013   Visits: 490 How Technology Turns Stress Testing from a Compliance Challenge to a Competitive AdvantageAs regulators demand more detailed stress testing from banks, modernizing loan valuation systems and breaking down organizational silos can aid in compliance and risk management....
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Date: 5-26-2013   Visits: 458 Stress Testing and Data CollectionSourcing and updating adequate data is one of the most crucial aspects of developing and maintaining a reliable stress testing process. The ability to incorporate updated and relevant data for the str...
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Date: 5-11-2013   Visits: 440 Biggest challenges with stress testingSageworks polled 74 U.S. bankers to determine the biggest challenges that institutions have with starting or completing stress testing analysis in their institutions. The biggest obstacle to easy and ...
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Date: 5-11-2013   Visits: 559 CCAR Stress Testing: The Devil Lies in The Data? So much has been written about the models being the source of all evils in the risk management space. Surely the breaking down of correlation matrices was responsible to a large extent in the er...
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Date: 4-27-2013   Visits: 437 What Boards Need to Know about Stress TestingBanks above $10 billion in assets are required to do stress testing per the Dodd-Frank Act. What is happening with banks below this level?...
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Date: 4-26-2013   Visits: 395 Markit Upgrades Portfolio Valuations Service with VaR and Stress TestingMarkit has added a range of risk and scenario analysis tools to its Portfolio Valuations service, enabling customers to receive independent value-at-risk (VaR) and stress testing results that are cons...
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Date: 4-22-2013   Visits: 453 The Future of Europe-Wide Stress TestingThe IMF has recently argued that Europe’s financial sector has done much to address the recent financial crisis. This column argues that vulnerabilities remain, and calls for intensified efforts...
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Date: 3-23-2013   Visits: 469 Federal Reserve's Supervisory Stress Testing - DFAST 2013 – Part 2: Assumptions and LimitationsLet me first highlight that these DFAST post-stress capital levels and ratios are based on a set of standardised capital action assumptions for all participating BHC’s (“the covered companies”) as opp...
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