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Stress Testing and Capital Planning The Federal Reserve's Approach

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This degree of customization induces fast-activation timetables: some clients have established risk models in one month. In addition to modeling credit, market, and operating-risk-weighted assets, clients model the equity side of the regulatory balance sheet. They establish appropriate limits on Tier 1, Tier 2, and Tier 3 capital to automatically calculate the regulatory capital ratio.

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Clients may enter the consolidation structure into the risk modeling process so that appropriate models are calculated for various subsidiaries and regulators. Enterprise-wide Regulatory Capital Stress Testing QRM clients conduct regulatory capital stress testing across all regulatory risk models for the current or any future balance sheet position.

Internal Capital Adequacy Assessment Process (ICAAP) for Deposit-Taking Institutions

For future positions, clients create scenario stress tests based on a balance sheet forecast that includes ratings-based migration, credit parameter changes through time, or detailed risk-weighted asset analysis. These forecasts may also include changes in asset mix and growth based on business strategies, changes in asset quality based on economic conditions, or the growth in capital base through retained earnings.


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As clients integrate all models within a single-forecast stress test and include business-line-developed pricing and volume strategies, this ratio summarizes the results of the credit, market, and operating risk models, plus the forecast capital base. With the capital ratio, senior management can quickly decide whether its business strategies need to be modified or if contingencies need to be created.

Economic Capital Integration and Loan Pricing Analysis QRM consultants also assist clients with leveraging their Basel II models to create a full economic capital calculation for the entire organization.

Stress Testing for Risk Control Under Basel II

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Stress testing principles

While reading this book you just can't believe how horrible it is. After almost finishing it I couldn't you close it and then ask yourself what was this All in all there is no substance in this book.


  1. Stress Testing for Risk Control Under Basel II - 1st Edition?
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I bought this book expecting quite a lot especially on the techniques and methods. Instead what you get is pure BS and that is putting it lightly. The author goes on and on quite often repetitive on how some things are connected, structured and that they should actually be measured and stress testing should be performed.

No kidding!!! But then how you should do this technically there is absolutely nothing. I just can't imagine this to be a book that someone serious in risk management or in Basel II would take on and it would be of some use. Overall, this book is like a really bad movie