Regulatory Stress Tests, Capital Ratios, and the Future of CCAR
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Ccar
Firmwide Scenario Models: Silo vs Integrated Stress Testing
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Credit Risk Stress Testing for Banking Portfolios
Financial Risk Management by Jimmy Skoglund and Wei Chen (ISBN 978-1-119-13551-7)
Market risk stress tests got plenty of airtime in Chapter 3. Credit stress testing is at least as important for most banks. CCAR and EBA firmwide exercises live or die on what happens to the loan book under bad macro scenarios.