CCAR and Beyond - Capital Assessment, Stress Testing and Applications - Softcover

Jing Zhang

Softcover

ISBN 10: 1782720820 ISBN 13: 9781782720829

Publisher: Risk Books, 2013

Synopsis

Following the global financial crisis, the Comprehensive Capital Analysis Review CCAR has emerged in the US as the most dominant regulatory regime to face banks in recent years: banks must be able to prove to regulators that they have sufficient capital to weather a severe economic downturn.

CCAR and Beyond is the first authoritative reference guide to CCAR, providing a complete introduction and analysis of the regulation from origins to implementation.

With extensive experience advising CCAR banks on modelling issues, Jing Zhang brings together a cross-section of views from those directly involved in the regulation and implementation of these assessments and stress tests. CCAR and Beyond clarifies the various methodologies and techniques to approaching CCAR assessments, providing unique insight into this seminal regulation.

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.

Clarifying the various methodologies and techniques, this book is an essential companion for those implementing and performing these capital adequacy assessments and stress testing exercises.

About this title

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 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. --MacGu, CCAR and Beyond book purchaser

Edition details

• Publisher: Risk Books
• Publication date: 2013
• ISBN 10: 1782720820
• ISBN 13: 9781782720829
• Binding: Paperback
• Language: English
• Number of pages: 404