A guide to reverse stress testing A typical stress test creates a scenario and evaluates how a bank would fare under it. Compared to reverse stress testing, conventional stress tests are used to assure shareholders, regulators and customers that the capital on bank balance sheet
ICAAP and ILAAP European guidelines. What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy Assessment Process (ICAAP) is an internal review requirement that evaluates capital adequacy, capital management and planning at banks with a specific focus on core risk factors. Expected to be reviewed
Asset Liability Management Training Guide. 3rd Edition. The brand new, revised 3rd edition of the ALM Study Guide is out. With 190 pages, 189 figures and illustrations, the new edition weighs in at thrice the size of the 2nd edition and spends more time on
Bank Asset Liability Management (ALM) – Default ALM strategies. In our last post we looked at a history of US Treasuries yield curve shifts between 1978 and 2010. We now move to a simplified analysis of the maturity distribution of assets and liabilities on a
A visual history of USD Treasury yield curve shifts – 1978 – 2014. While we have spent a fair bit of time discussing Asset Liability Management models, we really haven’t spent enough time discussing interest rates. Specifically the historical behavior of US Treasury yield curve.
A short review of stress testing regulatory frameworks. Stress testing is evaluating the impact of large, expected as well as unexpected shocks on a bank’s capital. With the global financial crisis of 2008, EU debt crisis, Libor scandal and rampant rogue trading, it has become