Take part in our CCAR benchmark 2018 study
- 16 July 2018
CCAR (Comprehensive Capital Analysis and Review) is a key US supervisory requirement, and one of the most complex stress tests. It continues to take up considerable time and resources of financial institutions as the requirements for reporting relevant exposures evolve.
Following on from the success and popularity of the CCAR benchmark 2017, we're kicking off this year's benchmark study. The goal of this exercise is to provide participants with a benchmark of methodology and model outputs for their 2018 CCAR submissions. The study will collect a combination of both quantitative and qualitative information.
In this annual exercise, participants are asked to complete a survey, describing the quantitative and qualitative elements of their CCAR submission for 2018. Find out more about the study here.
A key feature of the report is the provision of benchmark ratios of different supervisory scenarios (e.g. the ratio of adverse to baseline scenarios), which allows participants a straightforward way to compare their results against those of their peers while maintaining a high level of confidentiality.
The report also collects information on the modelling approaches, risk identification methods, validation processes and common challenges, inter alia.
The data will be collected through our data submission tool. Any model outputs will be collected as ratios (e.g. adverse to baseline supervisory scenario) rather than in absolute numbers.
By taking part, participants will receive:
- A detailed benchmark report comparing CCAR model outputs in different scenarios
- Insight into common problems and solutions created by their peers
- The opportunity to participate in a webinar presenting early results
Participation for ORX members is free. The cost of participation for non-members is $3,000 US dollars, but this is refundable if you become a member of ORX before the end of 2019.
For more information on the project and how we will do it, please visit the CCAR 2018 project page.
If you are interested in participating, please contact us.