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April 2016

The EBA has released its 2016 EU-wide Stress Test. This webinar dissects the scenarios, considers possible narratives driving them and their probability of occurring.

Related Insights

Assessing the 2016 PRA Stress-Test Scenarios

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.

May 2016 WebPage Petr Zemcik

Modelling and Stressing the Interest Rates Swap Curve

We present a two-step modelling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. Our methodology is able to replicate two important features of the data: the dynamics of the spread across maturities and the alignment of the key swap rates tenor points to their corresponding government yields. Modern models of the term structure of interest rates typically fail to reproduce these and are not designed for stress testing purposes. We present results for the euro, the U.S. dollar, and British pound swap curves.

September 2013 Pdf Dr. Juan M. LicariOlga Loiseau-Aslanidi, Dr. José Suárez-Lledó

Modeling and Stressing the Interest Rates Swap Curve

This article presents a two-step modeling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. The results are shown for the euro, the US dollar, and British pound swap curves.

WebPage Dr. Juan M. LicariOlga Loiseau-Aslanidi, Dr. José Suárez-Lledó