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
Jing Zhang brings together industry experts in stress testing and
capital assessment to examine the central issues surrounding CCAR
- 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.