Risk Management
Fed orders banks to break open black boxes
Vendor models need to be properly validated for 2015 stress tests, Fed insists – but banks say they are finding it hard to get the required information
Can central bankers live up to their role as the guardians of finance?
Central bankers need to be the risk managers of the financial system to help mitigate the fallout from future crises. Those that engaged in the latest bouts of QE have not made a good start
OCC 'disappointed' at lack of accounting convergence
With US and international loan-loss accounting rules set to diverge, bank regulators are preparing to level up the resulting capital differences
NALM Americas 2013: Central banks should take more credit risk, says Flar CRO
An allocation to investment-grade corporate bonds could increase diversification and provide a cushion against rising interest rates, says Latin American Reserves Fund CRO
Systemic risk measurement gets book treatment
Jorge Chan-Lau draws on experiences at IMF, World Bank and the central banks of Canada, Chile and Malaysia to provide methods and tools to measure systemic risk
Striving for a strategic role for risk management
Risk management needs to be split from control functions to provide boards with a holistic view of qualitative and quantitative risks
Banks move to meet Bank Indonesia call for ‘external loss database’
Indonesian banks form association to explore the sharing of loss data and help develop risk management practices in response to call by Bank Indonesia
The flaws in the Fed's new macro stress test proposals
New macro stress test proposals by the Fed and ECB appear to conflict with rules put forward by the UK, and are raising concern in countries where financial institutions are relatively robust
Central Bank of Barbados challenges rating downgrade
S&P lowers Barbados’s sovereign credit rating triggering angry response from central bank; says it is ‘manifestly’ not the case that debt risk has increased
ECB relaxes collateral eligibility rules
Broader range of lower quality assets now acceptable under ECB collateral rules; move should help Spanish banks after results of stress test reveal a potential €62 billion capital shortfall
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