Market and Counterparty Risk Stress Test

Eduardo Canabarro

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.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: