Company: Risk Books
Published: 13 February 2014
Since the Supervisory Capital Assessment Program (SCAP) in 2009, the Federal Reserve has refined its expectations on capital assessments and stress tests to form the Comprehensive Capital Analysis Review - CCAR - an annual assessment and stress testing exercise to be performed by banks to rigorously measure whether they have enough capital to withstand another crisis.
The spread and breadth of CCAR continues to expand; originally designed for the largest bank holding companies in the US, the assessments are now being performed at smaller banks and regulators across the globe are eagerly watching the results unfold.
CCAR is widely considered to be the regulation with the greatest influence on banks' risk management and business practices, mainly due to the approval of dividend issuance, share buy-back, acquisitions and other major corporate actions hinging on the outcome of these assessments.
CCAR and Beyond: Stress Testing, Capital Planning and Implications explores the modelling techniques key to CCAR and the business implications of the programme. Contributions from those directly involved in the implementation and regulation of these assessments provide a unique source of information and insight into the assessment practices.
Jing Zhang brings together industry experts in stress testing and capital assessment to examine the central issues surrounding CCAR including:
the design and severity of the macroeconomic scenarios;
C&I and CRE portfolio stress testing;
market, counterparty and operational risks;
pre-provision net revenue modelling;