Regulatory Stress Testing Modeling in R
To skip the long article, watch the presentation video here: Using R for Regulatory Stress Testing Modeling (21’11”) I. Project Overview 2008 Financial meltdown due to asset securitization and overleveraging Response in form of regulatory requirements for Bank Holding Companies Dodd-Frank Act supervisory stress testing (DFAST) - BHCs of $10-$50 BN Total Assets must provide forward-looking stress tests of their capital strcuture in-house Comprehensive Capital Analysis and Review (CCAR) - Further to DFAST requirements, BHCs of more than $50 BN Total Assets are also subject to Fed-conducted stress tests which must be publicly-disclosed.