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ADEC 7370 Applied Stress Testing for Economists (Fall: 3 )


Course Description

Since the financial crisis of 2008, banks and bank holding companies in the United States have faced increased regulation. One of the recent changes to these regulations is known as the Comprehensive Capital Analysis and Review (CCAR). At the core of these new regulations, specifically under the Dodd-Frank Wall Street Reform and Consumer Protection Act and the stress tests it mandates, are a series of “what-if” or “scenario analyses” requirements provided by the Federal Reserve. In this course we will examine these new regulations and build models which help to satisfy these requirements and will build both “bottom-up” and “top-down” models which incorporate external economic scenarios. We will also spend time with the creation of these scenarios. The final project will involve presenting results to experienced banking professionals. Experience with some statistical computing software is required (R, Stata or eViews). Pre-requisite: ADEC 731001 Data Analysis or department approval.


Schedule: Periodically

Instructor(s):

Prerequisites: ADEC 731001 Data Analysis or department approval.

Cross listed with:

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Last Updated: 08-Jun-16