10/10/17 - Arthur Angulo on More Transparent CCAR Models
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10/10/17 - Arthur Angulo on More Transparent CCAR Models

Promontory Managing Director Arthur Angulo was interviewed by Risk.net on how the Federal Reserve Board is considering publishing the implied losses of sample portfolios under its stress-testing models.

Many banks expect that the increased transparency would enable them to align their own models more closely to the Federal Reserve’s expectations, but that depends on the granularity of the regulator’s disclosures. “If, for example, the Fed segments a credit card portfolio into eight Fico bands when it models stressed losses, but for the hypothetical portfolio segments the portfolio into only two less granular Fico bands, banks will be unable to reverse-engineer the Fed’s models,” Angulo explained.

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