Risk Management
Fed releases stress test results early
Federal Reserve reveals results of latest bank stress testing two days early; finds majority of largest US banks would continue to meet expectations for capital adequacy despite large projected losses
ECB working paper proposes indicator of systemic stress
European Central Bank researchers outline a new indicator of contemporaneous stress in the financial system, called the composite indicator of systemic stress
IMF paper studies impact of regulation and taxation on banking
IMF researchers investigate the impact of bank regulation and taxation in a dynamic model with banks exposed to credit and liquidity risk
New CRD IV draft exempts sovereign trades from CVA capital charge
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
BIS working paper studies collateral requirements
Research estimates collateral requirements for mandatory central clearing of over-the-counter derivatives; finds major dealers already have ample assets to meet initial margin requirements
Czech National Bank unveils stress-test results
Czech banking sector prepared to withstand “significantly adverse stress scenario", says central bank
Dutch working paper investigates risk preferences
Netherlands Bank working paper provides new field of evidence on risk preferences over small stakes
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
IMF working paper formulates new forecasting framework
New IMF research looks into systemic real and financial risks; focuses on the measurement of them, predicting them and stress testing
IMF offers fresh perspective on stress testing
International Monetary Fund researchers investigate stress testing in interconnected banking systems
Moody’s alters sovereign debt ratings of nine EU countries
Austria, France and the UK see outlooks on Aaa ratings changed to negative; Spain and five other countries’ ratings are downgraded
Basel 2.5: US ratings workaround too punitive, banks complain
Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
NALM Africa 2011: Beware the risk 'numbers' say African central bankers
African central bank risk chiefs say reserves managers need to beware the numbers produced by complicated risk management software systems and rely more on their own qualitative judgement
Worldwide warnings of escalating risk
International Monetary Fund and European Systemic Risk Board caution authorities over worldwide risk dangers; urge swift and decisive action
Fitch issues stern warning to the US
Affirms AAA rating but says failure to agree on deficit-reduction measures would ‘likely result in negative rating action’
Israel stress test results show room for improvement
Results of stress tests show Israeli banks need to improve Core Tier I capital and risk management practices
Asian Development Bank encourages regional policy cooperation
The Asian Development Bank wants to see increased regional policy cooperation to ensure more balanced and sustained growth in emerging East Asia
Helaba withdrawal hints at 'fundamental value' in stress test results, says analyst
German bank Helaba’s withdrawal from the European stress-testing process indicates there could be 'fundamental value' in the results, an analyst says
European stress tests not complete; EBA’s Enria
European Banking Authority chief says speculation on results of European stress test are “completely unfounded”
West African central bankers receive training in debt managment and corporate governance practices
West African Institute for Financial Management works with IMF and World Bank to train region’s central bankers
Bafin chairman pans European Banking Authority stress tests
European Union’s bank stress standards lack “legitimacy”, according to top German regulator
Credit rating agencies slam sovereign warning proposal
EU Commission proposal for credit rating agencies to give sovereigns three days’ notice of a rating change causes “grave concerns”
S&P lowers Greece rating
Credit rating agency lowers Greece sovereign ratings; believes eurozone official creditors “may see a restructuring of official and commercial debt as the best way forward”
Russia finds a third of banks could not survive another crisis
Stress test results show 321 banks would fall below capital minimum in another financial crisis; licences would be revoked