Financial Risk Manager Part 2
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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:
The 2009 Supervisory Capital Assessment Program (SCAP) test
The 2011 European Banking Association (EBA) test
The 2012 Comprehensive Capital Analysis and Review (CCAR) test
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.