Welcome to the second edition of Risk Perspectives, a Moody’s Analytics publication created for risk-aware professionals. This compilation presents a wide range of views and approaches to stress testing, all with one larger goal in mind – to deliver essential insight to the global financial markets. The intention is to familiarize practitioners with the necessary means to turn insight into action, whether to maintain regulatory compliance, make smarter, risk-aware decisions, or enhance business planning.
While our last edition was more focused on Europe, our second edition will concentrate on the North American market – specifically how financial institutions can leverage the regulations to add value to their business, for regulatory compliance and beyond. Stress tests are now an important component of the supervisory toolbox and are therefore here to stay and evolve. Understanding the key drivers behind the new regulatory framework, and benefiting from the experience curve drawn from various geographies and practical cases, should help financial institutions to properly assess how they will cope with this new context, for both short and long-term horizons.
RETHINKING STRESS TESTING
- Is Now the Time for Tough Stress Tests?
- Modeling Credit Losses to Meet Stress Testing Requirements
- Integrated Risk Management: Overcoming Bank Silos to Optimize Stress Testing
- Leveraging the Regulatory Stress Tests to Build Long-Term Value
- 2013 Mid-Cycle Stress Test Disclosures
- Liquidity Risk Management is a Game Changer
- Preparing for the Stress Tests: Regulatory Timeline and Requirements
- Stress Testing – a Return to RAP vs. GAAP?
- The Challenges of Stress Testing US Structured Finance
- CCAR and DFAST: What will 2014 Bring?
APPROACHES TO IMPLEMENTATION
- The Need for Model Risk Management
- Modeling the Entire Balance Sheet of a Bank
- When CCAR Met Basel
- Modeling and Stressing the Interest Rates Swap Curve
PRINCIPLES AND PRACTICES
- Applying DFAST and CCAR Scenarios Across Asset Classes
- Stress Testing for Retail Credit Portfolios: A Bottom-Up Approach
- Target Architecture for Stress Testing
- ORSA: A Capital Adequacy Assessment Process for Insurers
- Regulatory and Management Reporting Best Practices
- Stress Testing in the US: What Happens Next?
- Meeting the CCAR Challenge
PDF file, 126 pages