Stress tests
US Treasury proposals seek to water down Basel III
Proposals include axing parts of liquidity rules, reducing the use of stress testing and the possibility of allowing banks to opt out of the Volcker rule
ECB provides detail on stress-testing methods
Top-down approach helped supervisors challenge banks’ results, ECB says
Model risk falls under the CCAR microscope
Fed using qualitative reviews to test the quality of model risk governance
Eiopa unveils 2017 stress test
UK real interest rates hit hard by Brexit aftermath, regulator says
Let the market regulate banks – FDIC’s Hoenig
Vice-chairman offers proposal that would take an axe to risk-based capital, stress testing and parts of the Volcker rule
Stress tests uncovered new data on large banks – ECB paper
Market reactions differed in 2014 and 2016, researchers say
European supervisory authorities call for changes to stress test methods
Next European stress tests should simulate yield changes and “interconnectedness”
Bank of England launches first ‘exploratory’ stress test
BoE will assess banks’ longer-term resilience to periods of stagnation; cyclical test made tougher
Norges Bank paper offers method of stress testing with fire sales
Model recognises possibility of indirect exposures, which could affect outcome of bank stress tests
Basel action needed before ‘regulatory cycle’ turns
Failure to reach a deal raises the risk of more entrenched protectionist positions
EU stress tests should revise banking income assumptions, ECB paper argues
Fee and commission income likely to decrease more under “adverse” scenario, researchers say
Danish paper examines funding costs in stress test scenario
Banks unable to attract funding quickly in a liquidity crisis, author says; model underscores importance of incorporating funding costs into stress tests
Macro-prudential policy must move beyond core banking – BoE’s Brazier
Stressed firms may outwardly be resilient but collectively be “overwhelmed”, says BoE director, calling for collective work to understand “feedback loops”
Fed unveils stress scenarios under revised testing approach
Tests now include model enhancements, new phase-in methods and lighter requirements for some banks; the severe scenario has been turned up a notch
BIS authors design game of asset managers
Authors model effects of cash hoarding and investor runs, finding that “hoarding is the rule, rather than the exception”, with implications for stress testing
Non-banks may amplify risks from policy divergence, Nakaso warns
Non-banks may be less constrained than banks in supplying dollar funding, but it could dry up at the first sign of trouble; the BoJ starts stress testing foreign currency liquidity
Eight banks struggle in Czech stress tests
Adverse scenario pushes many banks below regulatory capital minimums, though the system as a whole remains resilient, central bank says
IMF paper offers more granular stress testing framework
IMF applies new stress testing framework to Ecuador’s banking sector; framework offers more efficient surveillance, authors argue
Denmark’s economy set for a boom, says Rohde
Latest release of reports show Danish economy is resilient and set to grow in the next two years; governor Rohde still concerned about house prices
RBS falls short in latest Bank of England stress tests
Three banks show signs of “capital inadequacies” in the latest round of tests, with RBS forced to review its capital plan; Carney says global and domestic risk remains “elevated”, prompting the FPC to leave its buffer unchanged
Fed’s Tarullo: stress testing needs to evolve
Fed is planning to toughen its stress-testing framework with better alignment with regulation and incorporation of dynamic “amplification” effects – though more research is needed
Stress tests should consider wider range of resilience metrics – BoE article
Metrics including liquidity and funding resilience should be considered as stress tests become an important part of a central bank’s regulatory toolkit; current liquidity and funding stress scenarios are “less advanced”
Liquidity stress testing ‘essential’ – ECB supervisor
Supervisor warns conference that banks will need to shape up their internal liquidity adequacy assessment process responses for 2017
Italian banks feel more pressure from EBA stress-test results
Publication of the 2016 stress tests on European banks focuses attention on Italian banks in particular, but private sector recapitalisation plan takes some pressure off MPS