International Bank Subject to CCAR
Benchmark scenario design
- Regulators criticized internal stress scenarios for not being severe enough for CCAR
- Tremendous amount of time and resources was spent on scenario design, consisting of hundreds of variables
- Time was running out to develop a challenger model that could solve the matter by the given deadline
The bank used Straterix‘s effective challenge approach to verify their CCAR stress testing process:
- A top-down ‘Reverse scenario analysis’ quickly discovered the necessary adjustments to internal scenarios that would produce adequate severity
- Analysis took less than 4 weeks from start to finish for one of the world’s largest banks
- Failure to address the problem may lead to failing CCAR
- The second and third lines of defense who are responsible to raise red flags during the regulatory audit, have no effective analytical tools at their disposal
- The adjustments that were needed for the internal scenarios, were discovered.
- The bank’s learned which environments would be stressful specifically to them
- The bank successfully passed CCAR