Capital Planning and Stress Testing under CCAR

Author Lourenco Miranda, Managing Director and Head of CCAR at Societe Generale Corporate and Investment Banking, presents this comprehensive guide to the Comprehensive Capital Analysis Review (CCAR), with a focus on stress-testing. Stress-testing has increasingly become a strategic tool for risk measurement and management, and it is of paramount importance for investors and for the systemic stability of the real economy.

• Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
• The Validation of Risk Models: A Handbook for Practitioners (Applied Quantitative Finance)