Quantitative Practices in Credit Risk for CCAR/DFAST Stress Testing
- Friday, March 27 from 3:30 to 4:30 in Room 552; Refreshments 3:00 in Room 502
Comprehensive Capital Analysis and Review (CCAR) and Dodd Frank Annual Stress Testing (DFAST) is the most quantitative and the most comprehensive exercise of modeling and analysis to assess aggregate risk and to ensure capital sufficiency for large banks operating in United States. Talents in CCAR and DFAST are among the most demanded in the current job market.
After a briefly introduction of CCAR and DFAST in the beginning, this short talk will focus on the quantitative aspect of credit risk forecasting in the stress testing for CCAR and DAFST. The following topics will be discussed in some details: (1) the Basel default-based construct of expected credit losses PD × LGD × EAD; (2) current practices in modeling and estimating PD, LGD, EAD and credit losses over future time horizon; (3) model risk assessment and capital buffer
Dr. Hengzhong Liu, Fifth Third Bancorp
Dr. Hengzhong Liu earned a PhD in Financial Economics, Dr. Hengzhong Liu is a veteran risk quant professional in financial and banking industry.
In his industrial career of 20 plus years after his early years of academic life, he headed various quant and strategy groups as SVP and/or MD for consumer, commercial and wholesale banking and lending in Citi Group, and CIT Group. He is currently heading the CCAR program for commercial/wholesale portfolio in Fifth Third Bancorp