CCAR benchmark 2018
- 5 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.
Building on our work in previous CCAR benchmarks, in 2017 we ran this exercise for the third time to provide interested institutions with a benchmark of methodology and model outputs for their submissions. A summary of last year's report can be downloaded here.
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.
About this study
This is an annual exercise in which participants are asked to complete a survey, describing the quantitative and qualitative elements of their CCAR submission for 2018.
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 study will be running from June to December. If you are interested in participating, please contact us.
Confidential and secure data exchange
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.
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.
More information on last year's CCAR benchmark can be found here, or you can download the summary report below.
If you are interested in participating, or if you would like to learn more, then please get in touch.