CCAR
WHAT IS THIS? The Comprehensive Capital Analysis and Review (CCAR) is a stress test carried out by the US Federal Reserve. It aims to establish whether the largest banks have enough capital to cope with a severe economic shock, and vets their risk modelling practices – creating an annual cycle that has driven huge investments in staff and systems at many banks.
Do all roads lead to multi-scenario Fed stress tests?
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
Kneejerk regulatory reaction to SVB risks lending squeeze
Risk manager at regional bank says any Dodd-Frank 2.0 would be ‘fighting the last war’
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
EBA eyes top-down stress test for credit risk
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
Quiet man: is Michael Barr the Clark Kent of regulation?
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
Credit Suisse goes off piste in latest DFAST
US unit of Swiss bank underestimated leverage hit in Fed stress test
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
Can we take the “stress” out of stress testing? Applications of generalized structural equation modeling to consumer finance
This paper provides a practical introduction to the GSEM statistical framework in risk management, and it illustrates the game-changing potential of this methodology with two empirical applications.
Correlations in operational risk stress testing: use and abuse
The paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
New Fed regulation head unlikely to roll back all Trump changes
Progressives see climate and crypto as priorities over toughening Volcker Rule or tailoring
RBC applies ‘deep hedging’ to stress scenarios
Risk USA: machine learning model generates more realistic estimates of trading losses
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
More banks flirt with machine learning for CCAR
Superior computational grunt of neural networks is attractive to lenders. Lack of explainability is the downside
EBA set to unveil revised hybrid stress-test framework
Firms fear new bank-run leg in 2023 exam could prove an operational headache
An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
This paper proposes an interpretable nonlinear neural network model that translates business regulatory requirements into model constraints.
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did