Stress-testing

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Guidelines on Institutions' Stress Testing

EBA guidelines for institutions when designing and conducting stress testing programs

European Banking Authority guidelines provides a description of types of stress test exercises and reverse stress testing processes for both regular stress testing and recovery planning purposes. Addresses other matters that can be relevant to stress testing programs, including conduct risks and litigation costs, foreign exchange lending risk, interaction between solvency stress tests and liquidity stress tests, business models and data aggregation.

Publisher: Regional Standard-Setting Bodies Release date: Jul 2018

Type: Guideline

Parent: Guidelines on Stress Testing

Peer: Revised Procedures and Methodologies for the Supervisory Review and Evaluation Process and Supervisory Stress Testing

Topics: Stress-testing, Recovery and resolution, Capital adequacy, Liquidity risk and rules

Sectors: Banking

Recommendations for Liquidity Risk Management for Collective Investment Schemes

IOSCO final recommendations on good liquidity risk management practices

International Organization of Securities Commissions final recommendations address structural vulnerabilities identified by the Financial Stability Board regarding liquidity risk management in the asset management industry. Topics covered include: i) disclosure to investors; ii) alignment between asset portfolio and redemption terms; iii) availability and effectiveness of liquidity risk management tools; and iv) fund level stress testing.

Publisher: Global Standard-Setting Bodies Release date: Feb 2018

Type: Consultative, discussion and issues paper

Peer: Liquidity Management Tools in Collective Investment Schemes

Topics: Liquidity risk and rules, Transparency and disclosure, Stress-testing

Sectors: Securities

Good Practices for Open-End Fund Liquidity and Risk Management

IOSCO sound practice for liquidity risk management by asset managers

International Organization of Securities Commissions sound practice addresses structural vulnerabilities identified by the Financial Stability Board regarding liquidity risk management in the asset management industry. Topics covered include: i) disclosure to investors; ii) alignment between asset portfolio and redemption terms; iii) availability and effectiveness of liquidity risk management tools; and iv) fund level stress testing.

Publisher: Global Standard-Setting Bodies Release date: Feb 2018

Type: Sound Practice

Peer: Liquidity Management Tools in Collective Investment Schemes

Topics: Liquidity risk and rules, Transparency and disclosure, Stress-testing

Sectors: Securities

Recommendations for Liquidity Risk Management for Collective Investment Schemes

IOSCO final guidelines to improve liquidity risk management of open-ended collective investment schemes

International Organization of Securities Commissions guidelines set out recommendations to ensure that liquidity is managed to safeguard and protect the interests of investors, including in stressed market conditions. Includes guidance to securities regulators to promote good liquidity management practices for open-ended collective investment schemes.

Publisher: Global Standard-Setting Bodies Release date: Feb 2018

Type: Guideline

Peer: Principles for the Valuation of Collective Investment Schemes

Topics: Liquidity risk and rules, Stress-testing, Consumer education and protection, Corporate governance

Sectors: Securities

Liquidity Stress Testing by German Asset Managers

BaFin management summary of new guidelines for liquidity stress tests in the context of liquidity risk management

Federal Financial Supervisory Authority of Germany (BaFin) management summary provides overview of report that sets out current industry practice and idiosyncracies of the German asset management market. Report requires that design of liquidity stresses should account appropriately for the business model and size of the asset management company. Reporting and governance policies must be clear and consistent. Stress scenarios and the frequency of monitoring should be suitable to the nature of the individual fund.

Publisher: National Regulators Release date: Dec 2017 Country: Germany

Type: Guideline

Topics: Stress-testing, Liquidity risk and rules, Corporate governance, Transparency and disclosure

Sectors: Securities

Supervisory and Bank Stress Testing: Range of Practices

BCBS report on observed supervisory and bank stress testing practices

Basel Commitee on Banking Supervision report sets out range of observed supervisory and bank stress testing practices. Describes and compares these practices and highlights areas of evolution. Report covers: i) supervisory stress frameworks; and ii) bank stress testing frameworks.

Publisher: Global Standard-Setting Bodies Release date: Dec 2017

Type: Consultative, discussion and issues paper

Parent: Principles for Sound Stress Testing Practices and Supervision

Peer: Bank Stress Testing Principles , Peer Review of Supervisory Authorities' Implementation of Stress Testing Principles

Topics: Stress-testing

Sectors: Banking

Stress Testing the UK Banking System: 2017 Results

BoE report on results of 2017 stress test of UK banking system

Bank of England report on results of 2017 concurrent stress test of the UK banking system. Includes a detailed explanation of the Bank's first exploratory scenario which was used to examine major UK banks' long-term strategic responses to an extended low growth, low interest rate environment with increasing competitive pressures in retail banking enabled in part by an increase in the use of financial technology (FinTech).

Publisher: National Regulators Release date: Nov 2017 Country: United Kingdom

Type: Consultative, discussion and issues paper

Parent: Approach to Stress Testing the UK Banking System

Topics: Stress-testing, Macroprudential, Capital adequacy, FinTech

Sectors: Banking

Standards and Guidelines Under the EU's Money Market Fund Regulation

ESMA report setting out various requirements for money market funds

European Securities and Markets Authority report contains standards and guidelines under the European Union's Money Market Funds Regulation on: i) liquidity and credit quality requirements applicable to assets received as part of a reverse repurchase agreement; ii) requirements for assessing the credit quality of fund investments; iii) common reference parameters for stress test scenarios; and iv) a template for reporting information to supervisory authorities.

Publisher: Regional Standard-Setting Bodies Release date: Nov 2017

Type: Guideline

Topics: Liquidity risk and rules, Stress-testing, Credit risk

Sectors: Securities

Recovery Planning

KPMG report on recovery planning by banks

KPMG report advocates contingency planning for severe and wide-ranging adverse scenarios in order to enhance the resilience of banks. Plans should cover: i) governance and decision-making; ii) continuity of critical economic functions; iii) specifications of trigger points to activate recovery options; and iv) internal and external communications.

Publisher: Others Release date: Jul 2017

Type: Consultative, discussion and issues paper

Topics: Stress-testing, Recovery and resolution, Corporate governance

Sectors: Banking

Comprehensive Capital Analysis and Review 2017: Assessment Framework and Results

FRB description of its CCAR requirements and process

US Federal Reserve Board assessment of large and complex US bank holding companies (BHC) provides: i) background on Comprehensive Capital Analysis and Review (CCAR) requirements; ii) description of assessment framework and factors used by Federal Reserve when reviewing BHCs' capital plans; iii) summary of CCAR 2017 results, including objection and non-objection decisions on BHCs' 2017 capital plans; and iv) information about process and requirements of CCAR 2017, including consequences of objections to a capital plan, execution of planned capital distributions, process for resubmitting a capital plan, and feedback provided by Federal Reserve on a BHC's capital plan. CCAR is a complement to the FRB's supervisory stress-testing framework.

Publisher: National Regulators Release date: Jun 2017 Country: United States

Type: Implementation

Topics: Capital adequacy, Stress-testing

Sectors: Banking

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Resources

382 records

Guidelines on Institutions' Stress Testing

Recommendations for Liquidity Risk Management for Collective Investment Schemes

Good Practices for Open-End Fund Liquidity and Risk Management

Recommendations for Liquidity Risk Management for Collective Investment Schemes

Liquidity Stress Testing by German Asset Managers

Supervisory and Bank Stress Testing: Range of Practices

Stress Testing the UK Banking System: 2017 Results

Standards and Guidelines Under the EU's Money Market Fund Regulation

Recovery Planning

Comprehensive Capital Analysis and Review 2017: Assessment Framework and Results

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