CCAR and Beyond
First published:
ISBN: 9781782720829
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Market and Counterparty Risk Stress Test
Introduction
CCAR and Stress Testing as Complementary Supervisory Tools
Financial Institution Perspectives on the Evolving Role of Enterprise-wide Stress Testing
The Advancement of Stress Testing at Banks
Designing Macroeconomic Scenarios for Stress Testing
Determining the Severity of Macroeconomic Stress Scenarios
Data, Analytics and Reporting Requirements: Challenges and Solutions
A Multi-view Model Framework for Stress Testing C&I Portfolios
Stress Testing Credit Losses for Commercial Real Estate Loan Portfolios
Stress Testing and Retail Portfolios
Market and Counterparty Risk Stress Test
On Operational Risk Stress Testing
Quantitative PPNR Modelling
Banks’ Governance and Controls over Internal Capital Adequacy Processes
CCAR and Capital Management: Relationship with Economic Capital, Regulatory Capital and ICAAP
EU-wide Stress Test Versus SCAP and CCAR: Region-wide and Global Perspectives
The largest US banks substantially enhanced their stress-testing capabilities in the aftermath of the financial crisis of 2007–08. This effort has been motivated by both internal and external demands for more comprehensive risk measurement and capital assessment frameworks.
The Federal Reserve Board (FRB) has implemented its Comprehensive Capital Analysis and Review (CCAR) programme11The CCAR is an annual process implemented by the FRB to ensure that financial institutions have robust, forward-looking capital planning processes that account for their unique risks, and sufficient capital to continue operations throughout times of economic and financial distress. As part of CCAR, the FRB evaluates institutions’ capital adequacy, internal capital adequacy assessment processes (ICAAP) and their plans to make capital distributions, such as dividend payments or stock repurchases, or other actions that affect capital. for the largest banking holding companies (BHCs), those with total assets greater than USD50 billion. The annual CCAR process has taken place since 2011, following in the footsteps and success of the initial Supervisory Capital Assessment Program (SCAP) conducted in 2009
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