Advanced CCAR, DFAST, and CECL Modeling – Part I: Top-Down Methods

This advanced course focuses on portfolio-level and aggregate modeling approaches used in regulatory stress testing, capital planning, and allowance estimation under the Comprehensive Capital Analysis and Review (CCAR), Dodd-Frank Act Stress Testing (DFAST), and Current Expected Credit Loss (CECL) frameworks. Students learn to transform macroeconomic scenarios into forecasts of losses, revenues, expenses, reserves, and capital through econometric and time-series modeling techniques. Emphasis is placed on regulatory expectations, model risk management, scenario expansion, forecasting methodologies, model validation, and practical implementation within large financial institutions.

  • Level: advanced
  • Duration: 12-14 weeks
  • 13 sections
  • Price: $20

Topics: CCAR, DFAST, CECL, stress testing, capital planning, top-down modeling, portfolio forecasting, econometric modeling, time series forecasting, regulatory compliance, model risk management, credit loss forecasting

What's inside

  1. Advanced CCAR, DFAST, and CECL Modeling – Part I: Top-Down Methods
  2. Chapter 1: Regulatory Frameworks & Evolution
  3. Chapter 2: Aggregate Portfolio Construction & Data Quality
  4. Chapter 3: Time Series Fundamentals & Stationarity Analysis
  5. Chapter 4: VAR/VECM Modeling & Scenario Expansion
  6. Chapter 5: Net Interest Income & Balance Sheet Forecasting
  7. Chapter 6: Deposit Modeling & Non-Interest Forecasting
  8. Chapter 7: Credit Loss Forecasting Fundamentals
  9. Chapter 8: Portfolio-Level PD/LGD/EAD & CECL Reserve Forecasting
  10. Chapter 9: Capital Components & Forecasting Framework
  11. Chapter 10: Stress Testing Workflow & Capital Integration
  12. Chapter 11: Model Validation & Performance Evaluation
  13. Chapter 12: Documentation, Governance, & Audit Preparation

Read a free sample chapter