The book demonstrates how to build a quantitative CCAR framework from scratch according to regulatory expectations and guidelines. It also encompasses capital planning and scenario analysis, thereby providing in one place a complete set of technical tools for conducting the CCAR assessment according to regulatory expectations.
- Capital Policy in the a CCAR Framework
- Scenario Design Toolbox: Array of Practices and Techniques
- Estimation Methodologies for Losses, Revenues, and Expenses for CCAR
- Market Risk and Counterparty Credit Risk under a CCAR Framework
- Assessing the Capital Adequacy: A Practitioners’ View
2. Introductory Risk Management Practices
3. Capital Policy in the a CCAR Framework
4. Scenario Design Toolbox - Array of Practices and Techniques
5. Estimation Methodologies for Losses, Revenues, and Expenses for CCAR
6. Credit Loss-Estimation Methodologies in the Context of CCAR for Banks
7. Operational Risk Stress Testing
8. Market Risk and Counterparty Credit Risk under a CCAR Framework
9. Revenue and Expense Projection Techniques in the Context of CCAR for Banks
10. Assessing the Capital Adequacy - A Practitioners View
11. How would a CCAR process work for an Insurance Company?
12. CCAR around the world and the future of CCAR
Formerly, Dr Miranda was Head of Quantitative Analytics at US Bancorp. In that capacity, Dr Miranda was responsible for the calculation of Operational Risk Capital and CCAR; and for the risk oversight, model development for capital markets products (fixed income, FX, credit, MSR) including counterparty risk modelling (CVA family). Before that, Dr Miranda held different positions in internationally active Financial Institutions like the IFC/World Bank (responsible for risk advisory in more than 30 countries and jurisdictions) and ABN AMRO (head of integrated risk modelling). In the academic arena, Dr Miranda is a published author, having held different positions in academic institutions in Brazil, Netherlands, Russia and the US. Currently, he is visiting Professor of the School of Mathematics of the University of Minnesota.