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US banks' stress test projections stray further from Fed's in 2023 - Vimarsana News

US banks' stress test projections stray further from Fed's in 2023

Published: July 17, 2023

Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs

Source: risk.net
Related Topics:
Federal ReserveDodd Frank ActRisk QuantumCommon Equity TierNorthern TrustBank Of AmericaGoldman SachsBny MellonState StreetJp MorganWells FargoMorgan StanleyFederal ReserveNorthern TrustNited States UsStress TestingStress ScenariosOmmon Equity Tier 1 Cet1 CapitalCapital AdequacyDodd Frank ActCapital RatioFinancial MarketsInternal ModelsIsk Quantum
Citi's stress-test estimates out of sync with Fed's - Vimarsana News

Citi's stress-test estimates out of sync with Fed's

Published: July 6, 2023

Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender

Source: risk.net
Related Topics:
Risk QuantumCommon Equity TierBank Of AmericaBny MellonFederal ReserveGoldman SachsJp MorganMorgan StanleyState StreetWells FargoNited States UsCapital BufferCapital RatioOmmon Equity Tier 1 Cet1 CapitalDodd Frank ActFinancial MarketsG SibsInternal ModelsLeverage RatioIsk Weighted Assets Rwas Stress TestingSupplementary Leverage Ratio SlrStress ScenariosStress Capital BufferIsk Quantum
Citi's CVA charge up 7% in Q1 - Vimarsana News

Citi's CVA charge up 7% in Q1

Published: June 6, 2023

Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America

Source: risk.net
Related Topics:
Jp MorganNited States UsCredit Valuation Adjustment CvaCounterparty Credit RiskCounterparty RiskCredit SpreadsIsk Weighted Assets Rwas Capital RequirementsInternal ModelsIsk Quantum
Regulators' remorse: SVB and the case for IRRBB capital charges - Vimarsana News

Regulators' remorse: SVB and the case for IRRBB capital charges

Published: June 6, 2023

Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks

Source: risk.net
Related Topics:
United StatesPablo HernSilicon Valley BankBasel Committee On Banking SupervisionBasel CommitteeBanking SupervisionBasel Committee On Banking Supervision BcbsSilicon Valley BankAustralian Prudential Regulation Authority ApraConomic Value Of Equity Eve Pillar 1Pillar 2Fair Value AccountingCapital RequirementsLosses Amp LawsuitsAsset And Liability Management AlmBanking BookInternal ModelsStandardised ApproachesBalance SheetCapital RatioExpected Shortfall Es Interest Rate RiskIsk Weighted Assets Rwas Tier 1 Capital
US arms of Credit Suisse, SMBC, Santander stumble on VAR - Vimarsana News

US arms of Credit Suisse, SMBC, Santander stumble on VAR

Published: May 31, 2023

Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the trio

Source: risk.net
Related Topics:
United StatesCredit SuisseSumitomo Mitsui Banking CorporationWall StreetSuisse United StatesMorgan StanleyGoldman SachsNorthern TrustCapital OneSumitomo Mitsui Banking Corporation Smbc Huntington BancsharesCitizens Financial GroupDeutsche BankFifth Third BankRoyal Bank Of Canada RbcJp MorganState StreetBny MellonWells FargoUs BancorpBank Of Montreal BmoTd BankBank Of AmericaBnp ParibasPnc Bank