INTERNATIONAL BANK SUBJECT TO CCAR
Our software is a breakthrough in financial modelling, applying advanced algorithms, machine learning and data mining to measure our clients’ key performance indicators under any future scenario. It enables a new range of financial analyses that were previously impossible.
DFAST,Dodd-Frank Act stress testing,scenario design,scenario expansion,CCAR,Comprehensive Capital Analysis and Review,financial regulation,stress testing,Financial Institution,Banking Regulations,Banking Compliance,banking Regulatory Reporting,Risk Drivera,Economic Forecast,IFRS9,CECL,Reg Tech,OCC
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INTERNATIONAL BANK SUBJECT TO CCAR

International bank subject to CCAR – Benchmark scenario design

The problem

  • Failure to address the problem may lead to  failing CCAR
  • The second and third lines of defence who are responsible to raise red flags during the regulatory audit, have no effective analytical tools at their disposal

THE SOLUTION

  • 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

The business case

  • Decide on an optimized  investment strategy that is appropriate for a wide variety of market environments
  • Adjust risk limits dynamically to increase earnings within stated risk appetite boundaries

The results

  • Demonstrated that expected returns on high yield indices is lower than treasury yield. This was caused by low credit spreads not covering expected losses in high-yield bonds
  • Client increased yields by giving up some liquidity in their portfolio and, in special situations, investing in high yield
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