Insights & News
Risk management insights on model development, loss forecasting, CECL, and stress testing — from practitioners who build the models.
Banks estimate what they could lose in stress tests. Credit losses exist in regimes — long stretches of low losses punctuated by sharp, severe transitions. The only value of stress testing is deciding what to do before the shift happens, but most banks don’t. They should use the results to know when to hold, when to fold, when to walk away and when to run.
Recent Insights
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2017 – 2019 Federal Reserve and Company Run CCAR Results
Read more: 2017 – 2019 Federal Reserve and Company Run CCAR ResultsAlmost four years ago, we aggregated and published the Fed’s and Companies’ 2016 CCAR results. We’re surprised by the continued interest in those nearly four-year-old numbers; so, we asked one of our analysts to generate similar graphs for 2017, 2018, and 2019. Please note that a few observations from companies are missing; those firms purge…
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Spero Risk at Stress Testing: CCAR & DFAST Seminar
Read more: Spero Risk at Stress Testing: CCAR & DFAST SeminarNext Wednesday and Thursday, June 13 and 14, Phil Chamberlain, EVP of Risk and Data Governance, and Andy Spero will present sessions at Risk.net’s two-day course in New York City, Stress Testing: CCAR & DFAST. On Wednesday, Phil will present “Risk Appetite and Scenario Design in Stress Testing.” He will explain how a board’s risk appetite…
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Congratulations Lucy!
Read more: Congratulations Lucy!While there are similarities in approach, usually, there’s not much overlap between Spero Risk Associates (SRA) and Andy’s other job as the head track and field coach at John Carroll Catholic High School. However, our part-time, administrative assistant, Lucy, is a hardworking member of both teams. From left-to-right, Lucy and her teammates, Mandy, Alexis and…
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Spero Risk – WBA Webinar Series
Read more: Spero Risk – WBA Webinar SeriesIn conjunction with the Western Banking Association (WBA), we’re offering a series of webinars, entitled, “Crucial Resources for the Effective CRO.” The three webinars will go beyond regulations and bureaucracy to explain what you need to know about stress testing, modeling, and data governance. The WBA was formed in 2018 through a merger of the California…
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Wells, Cross Selling, Incentives, et. al.
Read more: Wells, Cross Selling, Incentives, et. al.Last week’s news about Wells Fargo’s retail sales tactics provides excellent evidence that all of the required ethics and UDAAP (Unfair, Deceptive, or Abusive Acts or Practices) training to which bankers are subjected is no match for poorly-designed incentive schemes and unobservant (or complicit) supervisors. We have two main points to make regarding this well-publicized…
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CCAR 2016 BHC Loss Rate Graphs
Read more: CCAR 2016 BHC Loss Rate GraphsThe slideshow below consists of 16 graphs: eight for the SR 15-18 firms and a matching eight for the SR 15-19 firms. Each graph presents the Fed’s and the firm’s forecasted average loss rate for each portfolio. To stop the show–to remain on one graph–hover over it with your mouse or cursor. Please note that…