CCAR Stress Testing: Challenges and Effective Solutions

• Enterprise-wide stress testing: sharing a vision, endorsing models, fostering communication, and planning reactions
• The complexity of CCAR: supervisory scenarios, global market shocks, BHC scenarios
• A state of the art review of CCAR stress test design: a balanced mix of judgement and statistical tools
• Organizing and validating the transmission chain from macro to market shocks down to single position shocks
• Balancing art and science in stress test design: a flowchart of decisions for testable choices