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Recent Insights
Learning Opportunities from “A Christmas Story”
Learning is a benefit that is important enough to describe separately! Like much financial and credit model development, scenario analysis is research as much as development or construction. Scenario analysis leads to a better understanding of the relationships between the firm and its environment and risk factors. Note that these relationships change…
Read MoreSR 12-7 and the Five Principles of Stress Testing
Many in the financial services industry equate “stress testing” with CCAR/DFAST. However, SR 12-7, “Supervisory Guidance on Stress Testing for Banking Organizations with More Than $10 Billion in Total Consolidated Assets,” is much broader. Well-implemented scenario analysis (a.k.a “stress testing” since the Financial Crisis) provides an estimate of…
Read MoreCommon Governance Mistakes
Governance answers the question “How do you turn regulatory guidance into consistent, repeatable actions that comply with said guidance?” For well-written guidance, like SR 11-07, consistency with it can get the firm close to good management and even best practices. Typically, one provides evidence of compliance by showing that the firm’s…
Read MoreServices
We have broad and deep experience in asset-liability management, structural interest rate risk management, and valuation, including modeling; stress testing and scenario analysis; and validation. This experience includes enterprise-wide stress tests across all trading and banking activities, counterparty credit models, and valuation of standard and…
Read MoreTwo Common Validation Mistakes
Frequently, we see mistakes on two extremes: False Positives: validators, who lack industry experience, confuse difficulty with effective challenges for growing. Seemingly important findings that have little or no potential for adverse consequences—for anyone—are over-emphasized. It’s a lack of proportionality that’s usually oriented to easily-verified…
Read MoreLearning Opportunities from “A Christmas Story”
Learning is a benefit that is important enough to describe separately! Like much financial and credit model development, scenario analysis is research as much as development or construction. Scenario…
Read MoreSR 12-7 and the Five Principles of Stress Testing
Many in the financial services industry equate “stress testing” with CCAR/DFAST. However, SR 12-7, “Supervisory Guidance on Stress Testing for Banking Organizations with More Than $10 Billion in Total…
Read MoreCommon Governance Mistakes
Governance answers the question “How do you turn regulatory guidance into consistent, repeatable actions that comply with said guidance?” For well-written guidance, like SR 11-07, consistency…
Read MoreTwo Common Validation Mistakes
Frequently, we see mistakes on two extremes: False Positives: validators, who lack industry experience, confuse difficulty with effective challenges for growing. Seemingly important findings that have…
Read More