Stress Testing Insight

Since the global financial crisis, bank stress testing has become an essential part of regulators’ toolkits for monitoring and maintaining financial stability. The impact of a bank’s stress test results can have large implications for its operations, its shareholders, and for the economy at large. Anticipating the results of a formal stress test through simulation can enhance a bank's internal risk management as well as provide strategic business insight.

Presenter: David Hamilton
Date: December 2016
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In this webinar, we detail the specific challenges facing structured finance investors, and propose effective solutions to help address these challenges.

Presenters: Miten Amin, David Kurnov
Date: September 29, 2016
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In this webinar examine the supervisory scenarios published by the Prudential Regulation Authority to help you better understand and prepare for this year’s stress-testing exercise. We discuss their main features and highlight the challenges in mapping provided assumptions to a wider set of global economic and financial series.

Presenters: Petr Zemcik, Olga Loiseau-Aslanidi
Date: May 10, 2016
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Prompted by regulator and investor pressures, most financial institutions have completed formal “first generation” exercises to establish Risk Appetite Statements (RAS), and some have adopted more sophisticated next-generation capabilities to manage a firm’s tolerance and capacity for risk taking. However, despite encouraging progress so far, there is work left to be done. In many instances, many firms have fully operationalized and embedded risk appetite within their organizations but have not seen the influence of those changes on key decision-making processes.

Presenters: Cubillas Ding, Celent Date: April 4, 2016
Although Australia’s banking system is one of the strongest in the world, the harsh lessons of the global financial crisis have led the country's regulator to require that banks develop and implement a rigorous stress testing process to prepare themselves for the next crisis. Dr. David Hamilton and Glenn Levine discussed the simulated stress test of the corporate loan portfolios of Australia's five largest banks (by asset size), which they recently conducted. Webinar-on-Demand and the associated whitepaper available below.

Presenters: David Hamilton, Glenn Levine

Date: March 10, 2016
The Federal Reserve has released its 2015 CCAR scenarios. Mark Zandi and the Moody’s Analytics team dissects the CCAR scenarios, and considers possible narratives driving them and their probability of occurring.

Presenter: Mark Zandi

Date: February 2, 2016
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This paper demonstrates a two-step methodology for forecasting and stress-testing market risk instruments with explicit links to stressed macro scenarios.

Authors: Cecilia Bocchio, Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Dr. Ashot Tsharakyan, Dr. Dmytro Vikhrov

Date: January 1, 2016
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In this webinar, Moody’s Analytics combines the techniques of network analysis with the richness of Moody’s CreditEdge® platform to compute systemic risk measures spanning the last 20 years for five major southeast Asian economies.

Presenters: David Hamilton, Sam Malone

Date: June 17, 2015
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This survey is based on 11 participants in Moody’s Analytics Stress Testing Executive Briefing for senior executives from Mid-Sized US Banks, held at Moody’s Analytics offices in New York, NY, on June 3, 2015. This presentation summarizes the thoughts and opinions of roundtable participants, provides perspective on stress testing program challenges, and identifies areas of emphasis and improvement.

Presenters: Mark Zandi, Anna Krayn, Dr. Sam Malone
Date: June 3, 2015
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In this presentation, originally given at the Moody’s Analytics Stress Testing and Capital Planning Roundtable, we discuss the results of our regulatory survey. 

Presenters: David Little, Anna Krayn, Mark McKenna 
Date: May 28, 2015
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In this webinar we examine the supervisory scenarios published by the Prudential Regulation Authority.

Presenter: Dr Petr Zemcik 
Date: April 9, 2015

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On April 28, 2015 Mark Zandi, Anna Krayn, and Sam Malone presented "Learnings from CCAR 2015 and Beyond." This document provides a summary of the webinar content.

Authors: Mark Zandi, Anna Krayn, Sam Malone
Date: April 7, 2015

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The challenges of BCBS 239 Implementation.

Author: Christian Thun
Date: April 20, 2015

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In this webinar, our economists dissect the scenarios by examining:

What are the assumptions driving the scenario? How severe is the stress? What is the impact on global economies? How it affects market instruments?

Presenters: Olga Loiseau-Aslanidi, Anna Zabrodzka
Date: April 18, 2016
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This article discusses the role of data management at the interface between stress tests and BCBS 239. 

Author: Christian Thun 
Date: April 7, 2015

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In this article, banks can significantly improve the effectiveness of their stress-testing exercises by incorporating systemic risk measures. 

Author: Tony Hughes
Date: March 13, 2015

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This presentation discusses how senior management can leverage stress testing for improving their bank's performance.

Author: Cayetano Gea-Carrasco
Date: February 24, 2015

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This paper addresses three data challenges that financial institutions face as they build data frameworks that withstand the scrutiny of regulators as well as internal and external stakeholders. Storing quality data in a centralized, structured way at origination not only ensures a solid foundation for wider regulatory compliance, it also paves the way for operational efficiency, profitability and scalability with growth. This paper addresses three data challenges that financial institutions face as they build data frameworks that withstand the scrutiny of regulators, internal stakeholders and external stakeholders. It also addresses strategies for dealing with inconsistency in data, ongoing regulation changes, and scalability requirements over
time.

Authors: Mathieu Dubard, Joy Hart
Date: December 12, 2014

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In this article, we look at the types of models that banks need to use - so-called champion and challenger models - to comply with regulatory rules.

Author: Tony Hughes
Date: December 24, 2014

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This executive summary outlines the key themes discussed at a recent Bank Capital Management Roundtable held in London on October 8th 2014.

Authors: Andrew Fishman, Amnon Levy, Burcu Guner, Roshni Patel
Date: October 8, 2014
Moody's Analytics EU-wide stress testing survey paints a picture of the challenges, opportunities and opinions from EU banks related to the latest stress testing exercise and the next steps. This webinar discusses the challenges faced in the recent ECB/EBA/PRA exercise and how banks are planning to address these challenges for future stress tests.

Presenter: Christian Thun
Date: November 12, 2014
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Identifying emerging risk at its early stage has become an important element in forward-looking risk management. This material discusses how recent global regulations treat this issue and how financial institutions have responded to this challenge.

Presenter: Yuji Mizuno
Date: September 17, 2014
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This presentation introduces four new trends in stress testing practices among global financial institutions. The purpose, governance, IT platform and modelling technologies of stress testing have changed drastically since supervisory stress testing started in the US. This presentation discusses the best practices with regard to the recent stress testing regulations. - in Japanese

Presenter: Yuji Mizuno
Date: September 17, 2014
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Building better stress testing and risk appetite framework has become one of the biggest challenges among Japanese banks. This material show 2 different tasks are converging together in terms of data management. It also shows a potential solution on how banks should integrate these 2 different tasks. - in Japanese

Presenter: Yuji Mizuno
Date: September 17, 2014
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The Asset Quality Review (AQR) and subsequent stress test in the EU/euro zone often brought the banks’ weak data warehouses painfully to light. Banks will be under even more pressure as stress testing is becoming a recurring exercise and the new principles for risk data aggregation (BCBS 239) require them to quickly solve the issues around the data warehouses.

Presenter: Dr. Christian Thun
Date: September 08, 2014
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Regulators globally are increasingly pushing banks to make stress testing a routine exercise. As the process evolves and regulatory scrutiny increases, banks will benefit from easily deployable tools that simplify and streamline that process.

Presenter: Danielle Ferry
Date: September 12, 2014
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This material discusses how Management Information System (MIS) can be used for risk appetite framework within a financial institution. MIS should be the main stream of important information throughout the organization. It introduces typical challenges in building risk appetite framework and how risk management should be improved under the framework. - In Japanese

Presenter: Yuji Mizuno
Date: September 17, 2014
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As part of their recapitalisation plans, banks will be required to review and challenge their internal methodologies in the context of stress testing.  

Presenter: Burcu Guner
Date: September 5, 2014
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Regulators are challenging how to perform stress testing on low default portfolios by reviewing bank’s PD models for RWA stress testing, in the absence of data they need to be convinced of the methodology used. In this Moody’s Analytics webinar we put forward a statistical approach to stress testing low default portfolios with practical case studies.

Presenters: Dr. Juan Licari, Manuele Iorio
Date: September 2, 2014
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This quantitative analysis of CCAR 2014 Severely Adverse scenarios, Moody's Analytics finds that the Federal Reserve Bank’s (FRB’s) and banks’ own modeled estimates of capital ratios, revenue, net income, and loan credit losses are generally well aligned, although variations in all measures and across all banks are evident. In addition, the FRB’s estimates are generally more conservative than those of the individual banks, reflecting differences in the FRB’s industry-based models vs. the banks’ portfolio specific models, treatment of missing or invalid data in the FRB’s modeling approach, and assumptions about projected balance sheet volumes. The wide variation among bank modeled estimates and their overall alignment with FRB modeled estimates argues against banks targeting general industry benchmarks (such as average loss rates) and in favor of building models around their own business models and portfolio characteristics.

Authors: Danielle Ferry, Dan Brown, Anna Krayn
Date: July 31, 2014
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