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Online CCAR Stress Test

Topics Covered

  • SSFA Data Requirements
  • Challenges invalidation of CCAR models
  • Risk Weight Calculation
  • SSFA Parameters
  • SSFA Outcome
  • Model Validation
  • PPNR Models
  • Loss Based Approach

Useful for hiring

  • CCAR Analyst
  • CCAR Modeler
  • Audit Manager - CCAR

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Question

You are the CEO of an Investment Bank based out of New York, USA. Your bank is eligible and requires to conduct CCAR stress testing every year as per the guidelines of the Federal Reserve Bank, USA. If which of the following cases, the data required to perform the testing using the Simplified Supervisory Formula Approach must not be older than three months?

Note: There can be multiple correct answers to this question.

Answer
    • The underlying exposures of the securitization positions being tested do not require any payment.

    • The underlying exposures of the securitization positions being tested require a regular payment on a monthly basis.

    • The underlying exposures of the securitization positions being tested require a regular payment on a quarterly basis.

Question

All the BHC's subject to CCAR stress testing, according to the rules of Federal Reserve, USA, must validate their testing models. Which of the points given below mentions regulatory issues faced by BHCs while validating their models? 

Note: There can be multiple correct answers to this question.

Answer
    • Sufficient empirical evidence is not present for supporting the use of overlays.

    • Enough historical data not present to test the robustness of the model.

    • Frequently changing of the model performance thresholds.

Question

A company is subjected to CCAR Stress testing as per the regulations of Federal Reserve, USA. The company fails to use the SSFA and Gross-Up approach to find the risk weights for some securitization exposures then, which of the following options must be followed by that company in this situation? 

Answer
    • It must assign a risk weight of 1250% to those exposures.

    • It must not assign any risk weight to those exposures.

    • It must assign a risk weight of 750% to those exposures.

    • It must not include that exposure in the testing procedure.

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