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.
US Treasury stance on CCAR a return to ‘bad old days’
Overhaul would kill test failed by eight banks in past three years
The untapped potential of stress tests
Quants propose technique to include stress testing in portfolio allocation
Banks less stressed about CCAR
Fed’s 2017 stress test assumes 10% peak unemployment and sharp drop in commercial property prices
Model risk falls under the CCAR microscope
Fed using qualitative reviews to test compliance with SR 11-7
Point-in-time probability of default term structure models for multiperiod scenario loss projection
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
Basel set to decide on capital relief for accounting changes
Phase-in to IFRS 9 and Cecl needed to avert "a dramatic overnight drop in regulatory capital", say auditors
Exclude internal stress tests from CCAR, says US auditor
GAO says internal tests weaken incentives for banks to create 'meaningful and severe stress tests'
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
Under construction: Renovations for CECL begin
Sponsored content: SAS
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Brexit spurs rethink of political risk at global banks
Some banks are reserving capital against political risks, such as Brexit
Big four consultants help banks jump through CCAR hoops
US banks relying on small group of consulting firms to complete Fed's annual stress test
European banks pressed to boost model risk management
US model risk management guidelines being increasingly used by banks and regulators elsewhere
CCAR as a powerful business and risk management tool
Firms should use stress testing to challenge assumptions
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Enria: new legislation can help bolster AT1 market
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Banks brace for qualitative objections from CCAR
Fed stress tests tilt towards data, governance, internal controls and modelling techniques
Stress tests at risk of becoming too complex, say bank heads
Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
Fed to use CCAR to push BCBS 239 compliance
"The stick they're wielding right now is around CCAR," says SunTrust executive
Banks fear capital add-ons for BCBS 239 failures
Capital add-on is "a stick that's out there", says Santander's Goddard
Time to get back to the real business of stress testing?
Bank supervisors should focus on improving internal stress-testing all year round
Risk managers need commercial nous, says Mizuho's Berry
Mizuho International CRO thinks front line and risk management must act in partnership