BAC: Best Practice Model Validation For Fed Stress-Testing, Value At Risk And Credit VAR
Donald van Deventer • Today, 5:12 AM
- Last Friday the Fed decried banks' reliance on poor risk models in announcing the rules for the imminent stress testing exercise with results due in January.
- These stress tests have important implications for BAC, C, JPM and WFC and the banks regulated by the European Central Bank and UK authorities.
- This note, which is designed for serious nerds, focuses on best practice model validation for stress testing, value at risk, and credit-adjusted value at risk.