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Explanation:
A is correct. Five Spanish banks did not pass the EBA stress tests, which resulted in another series of stress tests in Spain that led to increased capital requirements at 11 Spanish banks.
B is incorrect. The SCAP was developed due to significant uncertainty about the strength of US banks coming out of the crisis, and 10 of the banks were required to raise a total of US 75 billion in capital.
C is incorrect. CCAR required only a stress scenario, while EBA included both a base case and a stress scenario. This is still incorrect today as EBA still requires a baseline scenario (CCAR does too now).
D is incorrect. The SCAP test released loss rates by asset class including first lien mortgages, credit cards, and commercial real estate. This increased the disclosure dramatically over earlier US stress tests.
A risk consultant is presenting on the evolution of macro-prudential stress testing requirements established in response to the global financial crisis of 2007 – 2009. The consultant compares features of the following three stress tests:
Which of the following elements of these stress tests or their resulting impacts is correct for the analyst to include in the presentation?
A
Several Spanish banks failed the EBA stress test, and Spain imposed stricter countrywide stress tests the following year that resulted in some banks raising capital.
B
The SCAP stress test scenario was less severe compared to later US stress tests and did not result in any increased capital requirements for participating banks.
C
The CCAR test required banks to evaluate both a base case and a stress scenario, while the EBA test only included a stress scenario.
D
The SCAP test only disclosed overall loss rates for retail and commercial exposures, while the EBA test expanded disclosure to individual geographical regions and asset classes.
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