Tag Archives: stress testing

Benchmarking the European Central Bank’s Asset Quality Review and Stress Test: A Tale of Two Leverage Ratios

The following is an excerpt from a recent paper written by NYU Stern Professor Viral Acharya and Sascha Steffen: In November 2014, the ECB published its asset quality review (AQR) and comprehensive assessment (ECB 2014), as well as capital shortfall … Continue reading

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Professor Viral Acharya’s Research on Eurozone Stress Testing is Highlighted

The following is an excerpt from the Financial Times: Last week, 25 banks failed the asset quality review (AQR) conducted by the European Central Bank for 130 of the eurozone’s largest banks. In the stress test performed by the European … Continue reading

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Professors Robert Engle & Viral Acharya Warn that European Stress Test Risk Measures are Flawed

On the release of the US Fed’s latest bank stress tests, NYU Stern School of Business Nobel Laureate Robert Engle and Professor of Finance Viral Acharya warn that European regulators’ stress tests miscalculate the amount of systemic risk banks will … Continue reading

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Professor Viral Acharya’s Research on Stress-Testing European Banks is Cited

The following is an excerpt from the Financial Times entitled “Europe Should Say No to a Flawed Banking Union” by Wolfgang Münchau: There are two classes of compromise in political life. In the first, your ultimate aim is sweeping change, … Continue reading

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MSRM Class of 2013 Capstone Published by Financial Markets, Institutions and Instruments – NYU Salomon Center

A Capstone paper by Venetia Woo, Wilfrid Xoual,  and Bharat Chelluboina of the MS in Risk Management Class of 2013 was published by Financial Markets, Institutions and Instruments – NYU Salomon Center. The Effectiveness of the Regulatory Stress Testing Disclosure … Continue reading

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Falling Short of Expectations? Stress-Testing the European Banking System

The following is a study written by Professor Viral Acharya: The Single Supervisory Mechanism – a key pillar of the Eurozone banking union – will transfer supervision of Europe’s largest banks to the ECB. Before taking over this role, the … Continue reading

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MSRM Alumnus Wilfrid Xoual is Editor of Moody’s Analytics “Risk Perspectives”

The following is a letter from the Editor of Moody’s Analytics Magazine, “Risk Perspectives.” Wilfrid Xoual is a MSRM Alumnus from the Class of 2013.  Welcome to the first edition of Moody’s Analytics Risk Perspectives, a publication created for risk practitioners. … Continue reading

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