Loan Level Stress Testing – A Unique Opportunity To Drive Value From Compliance?
Date: Thursday, December 11, 2014
Time: 9:30 a.m. EST
Over the last few years, Dodd-Frank Act macroeconomic stress tests have put increased regulatory pressure on U.S. banks with between $10 billion and $50 billion in assets. Many of these banks have already adopted portfolio level net charge-off approaches that are quick to implement and that address immediate regulatory concerns. However, regulatory feedback for the largest institutions indicates more sophisticated loan-level approaches are preferred; we can expect this preference to follow for smaller institutions as well.
The potential move to loan-level stress testing approaches provides banks with a unique opportunity to revisit best practices for loan-level risk assessment and data collection. How can existing credit risk rating systems be best used in a stress testing environment? This session will explore best practices for compatibility between loan-level risk assessment systems and stress testing, and the strategic value that can be gained from such an approach beyond regulatory compliance.
Joseph Montalbano, senior consultant, Ambit Risk and Performance, SunGard
Andy Condurache, Director of Exams and Publications, PRMIA