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.
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
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
Stress capital buffer may delay buy-back announcements
Banks with capital ratios more sensitive to CCAR may rethink how they communicate distributions
Quantum computing experts voice explainability fears
Risk Live: big speed-ups for quantum-powered models could prompt bigger questions from regulators
Goldman banker calls for greater CCAR flexibility
Exec says share buybacks should have been permitted for stronger lenders during Covid freeze
Fed casts doubt on future of Basel internal models in US
Banks warn Fed cannot keep commitment to avoid Basel III capital hike if it forbids models
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
US banks fear Q1 stress capital buffer reset
Fed left buffers on hold after latest stress test, but can change them until March 31, 2021
Covid-19 overwhelmed stress-testing models – banks
Risk USA: lenders forced to apply management overlays to models skewed by macro inputs
Banks fold climate, pandemic and cyber risks into CCAR
OpRisk North America: anchoring idiosyncratic risks to macro scenarios a challenge, say experts
Fed set to unveil operational resilience proposals
OpRisk North America: banks expected to design idiosyncratic stress scenarios to test resilience