Stress tests
BoE toughens 2016 stress tests
GDP growth to hit a trough at -1.9%, unemployment to rise 4.5 percentage points and the level of GDP to fall by 4.3% in latest BoE stress tests; higher capital hurdles also mandated
Some analysts see stress tests losing effectiveness – Stournaras
Greek central bank governor raises questions over perception of stress tests; regulators’ models need to take more account of national differences, he argues
Tests find New Zealand banks ‘robust’ to dairy stress
Stress tests conducted by the Reserve Bank of New Zealand in late 2015 find five largest lenders to dairy sector can withstand further drops in payout and land values
BoE’s Brazier values flexibility with bank buffers
Alex Brazier says Bank of England will have a bias towards ‘acting early and gradually’ on capital buffers; will not look for “irrefutable proof” of bad events
Mexico’s stress tests reveal some institutions remain ‘vulnerable’ in extreme scenarios
Stress tests indicate that even in adverse scenarios banking sector remains sound; some banks and investment funds are vulnerable to extreme scenarios, including interest rate adjustments
EBA unveils 2016 stress test methodology
European Banking Authority presents the methodology for 2016 stress tests; no single capital adequacy level, but results will inform regulators’ assessments under SREP
Bulgaria launches asset quality review and stress tests
Bulgaria’s central bank will conduct an asset quality review of commercial banks, followed by stress tests; the move is in response to the 2014 failure of the country’s fourth-largest bank
Severely adverse scenario will now include ‘more severe downturn’ for US
Severely adverse scenario will now include ‘more severe downturn’ in the US economy; two new BHCs will take part, bringing total number to 33
Consultancy and advisory services provider of the year: BlackRock Solutions
A key partner to major central banks engaging in complex asset purchases, asset quality reviews, resolution mechanisms and strategic asset allocations
Malawi stress test shows three banks fall below Tier 1 requirement under minor credit shock
Latest stress tests show improved resilience but credit shocks remain greatest risk, Malawi’s latest financial stability report reveals
New Zealand economists stress-test dairy sector
An article published by the Reserve Bank of New Zealand finds banking system losses would still be ‘manageable’ under the worst-case scenario for milk prices and farm values
Norges Bank paper proposes linking CCP risk management to capital charges
Author recommends stress tests of CCPs to gauge interconnectedness, and proposes higher capital charges for CCPs with weaker risk management
Two UK banks fall short in BoE stress tests
RBS and Standard Chartered pass 'hurdle' rates but fall short on other capital requirements in 2015 Bank of England stress test; tests redesigned since 2014
EBA unveils plans for 2016 stress tests
European Banking Authority publishes draft guidelines for stress-testing systemically important banks; some 53 banks will be tested from February 2016
BoE’s Brazier defends new stress testing framework
Executive director says the Bank of England already has much of the forecasting infrastructure it needs, but will not overestimate its ability to spot the UK’s position in the financial cycle
BoJ lifts lid on new approach to macro stress testing
Tests designed to measure system-wide impact of a ‘tail event’ on financial and economic stability, allowing comparisons over time; BoJ reveals underlying variables for first time
BoE unveils new systematic stress tests
Stress tests designed to move counter-cyclically with the financial cycle and inform decisions on capital buffers; BoE looking to improve modelling techniques to keep pace
ECB paper makes case for Bayesian model averaging in stress-test models
Working paper highlights the differences between using Bayesian model averaging and a series of handpicked equations
Regulators face trade-off over publishing stress test results
Regulators publishing stress test results may inhibit frankness by bankers, a Philadelphia Fed working paper argues, but confidentiality brings its own risks
EBA report identifies issues stemming from use of macro-prudential tools to date
Survey of European use of macro-prudential tools to date reveals problems of overlaps and double counting, interaction with micro tools and bewildering diversity
CPMI and Iosco launch first consistency assessment of FMI principles
'Level three' assessment will examine the consistency with which the Principles for Financial Market Infrastructures have been applied to central counterparties
BoE turns attention to contagion from emerging markets
UK banks’ exposure to emerging markets is a cause for concern and will be integrated into 2015 stress test scenario, BoE says in financial stability report
Fischer: more research needed on stress testing
Fed vice-chair sees room for improvement in the design of stress testing; NY Fed’s McAndrews fleshes out possible research agenda
ECB paper tests systemic risk using ‘VAR for VaR’ model
Researchers use quantile regression in attempt to better account for outliers, which they say could have applications for stress testing