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Home > Business and Economics > Finance and accounting > Finance and the finance industry > Ccar and Beyond: Capital Assessment, Stress Testing and Applications
Ccar and Beyond: Capital Assessment, Stress Testing and Applications

Ccar and Beyond: Capital Assessment, Stress Testing and Applications


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About the Book

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; -governance, and -capital management.

Table of Contents:
Introduction Jing Zhang (Moody's Analytics) 1.CCAR and Stress Testing as Complementary Supervisory Tools Tim P. Clark and Lisa H. Ryu (Federal Reserve Board) 2. Financial Institution Perspectives on the Evolving Role of Enterprise-wide Stress Testing Andy McGee and Ilya Khaykin (Oliver Wyman) 3. The Advancement of Stress Testing at Banks Michel Araten (Credit Risk Capital Advisory) 4. Designing Macroeconomic Scenarios for Stress Testing Mark M. Zandi (Moody's Analytics) 5. Determining the Severity of Macroeconomic Stress Scenarios Kapo Yuen (Federal Reserve Bank of New York) 6. Data, Analytics and Reporting Requirements: Challenges and Solutions John P. Haley (Regions) and Thomas Day (Moody's Analytics) 7. A Multi- view Model Framework for Stress Testing C&I Portfolios Jimmy Yang and Kenneth Chen (Union Bank) 8. Stress Testing Credit Losses for Commercial Real Estate Loan Portfolios Jun Chen (Moody's Analytics) 9. Stress Testing and Retail Portfolios Soner Tunay and Rosa Catala (Citizens Bank) 10. Market and Counterparty Risk Stress Test Eduardo Canabarro (Morgan Stanley) 11. On Operational Risk Stress Testing Yakov Lantsman, Sabeth Siddique and Yan Shi (M&T Bank) 12. Quantitative PPNR Modelling Amnon Levy (Moody's Analytics) 13. Banks' Governance and Controls over Internal Capital Adequacy Processes David Palmer (Federal Reserve Board) and Paul Sternhagen (Federal Reserve Bank of San Francisco) 14. CCAR and Capital Management: Relationship with Economic Capital, Regulatory Capital and ICAAP Dan Ryan and Pranjal Shukla (PricewaterhouseCoopers) 15. EU-wide Stress Test Versus SCAP and CCAR: Region-wide and Global Perspectives Piers Haben, Caroline Liesegang and Mario Quagliariello (European Banking Authority)

About the Author :
Jing Zhang is a Divisional Managing Director and the Global Head of Moody's Analytics Quantitative Research Group. Formerly known as the Moody's KMV Research Group, the team is responsible for the quantitative modeling behind the EDF and LGD models for both public and private firms, commercial real estate, and portfolio and ALM analytics. Jing joined the KMV research team in 1998, eventually managing day-to-day research operations in 2000. He has made major contributions to a number of KMV quantitative models widely used in the industry today. Jing has also held a number of additional senior roles in Product Management and the Client Solutions Group, and he has advised banks and other financial institutions on risk management issues for many years. He has extensive experience supporting CCAR banks conducting loss estimation, PPNR modeling, model validation, benchmarking and capital planning, stemming from more than a dozen major client projects. Jing obtained his Ph.D. from the Wharton School of the University of Pennsylvania and his Master Degree from Tulane University. He was a lecturer for the Master of Financial Engineering Program at the University of California, Berkeley from 2010 - 2012. His research papers have been published in both academic and industry journals, such as the Journal of Time Series, the Journal of Fixed Income, and the Journal of Risk Model Validation.

Review :
Very valuable reference that has directly assisted me at work with our internal CCAR project. Will also be valuable for FDSF initiatives as well. This book is a great resource for information and insight into an evolving process. Unlike many other literature on the subject, this book provides in-depth analysis without being too high level or getting caught in the "weeds". Very good overview on the CCAR topic with one chapter dedicated to each problem. Depth in each chapter just right: this is not just yet another high-level text on the subject but offers substantial insights and practical experience. Just what I was looking for.


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Product Details
  • ISBN-13: 9781782720829
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 155 mm
  • Width: 235 mm
  • ISBN-10: 1782720820
  • Publisher Date: 23 Dec 2013
  • Binding: Paperback
  • Sub Title: Capital Assessment, Stress Testing and Applications


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