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How am I gonna calculate this stress testing? You are a market risk analyst at a small bank and need to run the stress testing
How am I gonna calculate this stress testing?
You are a market risk analyst at a small bank and need to run the stress testing based on the US FRB's stress testing scenarios You need to estimate P&L based on the stress scenarios provided ASSET/LABIUTY STRESS TEST 2021 CCAR Supervisory Severely Adverse https://www.federalreserve.gov/publications/stress test scenarios february 20 2020 EOY Baseline 2021 Q2 2021 01 (5.50) 2021 03 (3.30) Real GDP growth (4.00) 2021 04 (1.00) (0.40) Nominal GDP growth (4.80) (3.40) (2.90) Real disposable income growth 2.80 (9.90) (4.10) 3.80 (9.30) (3.40) (0.60) 0.20 9.70 7.80 8.60 9.30 Nominal disposable income growth Unemployment rate CPI inflation rate 3-month Treasury rate 1.30 1.00 1.00 1.20 0.10 0.10 0.10 0.10 5-year Treasury yield 0.30 0.30 0.30 0.30 10-year Treasury yield 0.30 0.30 0.30 0.30 BBB corporate yield 4.90 5.70 6.00 6.00 Mortgage rate 3.50 3.80 Prime rate 3.20 Dow Jones Total Stock Market Index (Level) House Price Index (Level) 23,194.50 222.80 288.20 3.70 3.80 3.20 3.20 3.20 19,178.40 17,649.80 17,711.10 213.30 197.90 279.30 249.50 57.60 206.00 267.40 Commercial Real Estate Price Index (Level) Market Volatility Index (Level) 70.00 65.80 62.00 Ticker 2021 Q1 2021 Q2 2021 Q3 2021 Q4 FNMA 1.02 01/19/28 (Federal National Mortgage Trust) SLMA 2014-2 A3 03/25/55 (SLM Student Loan Trust) T0.125 12/31/21 (US Gov't Bond) T2.25 03/31/26 (US Gov't Bond) DELL 1.625 06/24/24 (Dell Corp) $ $ $ $ 2.30 4.10 11.80 13.70 6.60 2.10 0.10 0.40 1.00 2.40 2.70 3.20 39,528.30 226.90 294.10 32.80 10,000,000 5,000,000 15,000,000 10,000,000 3,000,000 2022 Q1 (1.00) 2022 02 (1.00) 0.20 (0.10) 0.30 1.10 10.10 0.10 1.10 10.50 1.30 0.10 1.20 0.10 0.30 0.30 0.30 0.50 6.00 5.70 3.80 3.70 3.20 3.20 18,626.10 20,672.20 190.20 182.40 231.70 213.90 55.70 48.60 2022 Q1 2022 02 2022 Q3 (0.20) 1.00 2022 Q4 6.70 8.30 0.60 1.70 10.80 1.50 0.10 5.20 6.50 10.20 1.60 0.10 0.30 0.30 0.60 0.80 5.40 5.10 3.70 3.60 3.20 3.20 22,090.90 24,004.10 174.80 171.90 196.10 184.20 43.60 39.40 2022 Q3 2022 Q4 2023 01 6.70 8.40 2023 Q2 6.70 8.50 5.50 4.90 7.00 6.40 9.10 9.60 1.70 1.80 0.10 0.10 0.30 0.40 0.90 1.10 4.80 4.50 3.60 3.20 3.50 3.20 25,976.50 28,166.20 172.00 174.70 178.20 178.20 36.30 33,30 2023 01 2023 Q2 2023 Q3 6.70 8.80 4.40 6.10 8.50 2.00 0.10 0.50 1.20 4.20 3.40 3.20 30,648.80 177.30 178.20 30.30 2023 Q3 You are a market risk analyst at a small bank and need to run the stress testing based on the US FRB's stress testing scenarios You need to estimate P&L based on the stress scenarios provided ASSET/LABIUTY STRESS TEST 2021 CCAR Supervisory Severely Adverse https://www.federalreserve.gov/publications/stress test scenarios february 20 2020 EOY Baseline 2021 Q2 2021 01 (5.50) 2021 03 (3.30) Real GDP growth (4.00) 2021 04 (1.00) (0.40) Nominal GDP growth (4.80) (3.40) (2.90) Real disposable income growth 2.80 (9.90) (4.10) 3.80 (9.30) (3.40) (0.60) 0.20 9.70 7.80 8.60 9.30 Nominal disposable income growth Unemployment rate CPI inflation rate 3-month Treasury rate 1.30 1.00 1.00 1.20 0.10 0.10 0.10 0.10 5-year Treasury yield 0.30 0.30 0.30 0.30 10-year Treasury yield 0.30 0.30 0.30 0.30 BBB corporate yield 4.90 5.70 6.00 6.00 Mortgage rate 3.50 3.80 Prime rate 3.20 Dow Jones Total Stock Market Index (Level) House Price Index (Level) 23,194.50 222.80 288.20 3.70 3.80 3.20 3.20 3.20 19,178.40 17,649.80 17,711.10 213.30 197.90 279.30 249.50 57.60 206.00 267.40 Commercial Real Estate Price Index (Level) Market Volatility Index (Level) 70.00 65.80 62.00 Ticker 2021 Q1 2021 Q2 2021 Q3 2021 Q4 FNMA 1.02 01/19/28 (Federal National Mortgage Trust) SLMA 2014-2 A3 03/25/55 (SLM Student Loan Trust) T0.125 12/31/21 (US Gov't Bond) T2.25 03/31/26 (US Gov't Bond) DELL 1.625 06/24/24 (Dell Corp) $ $ $ $ 2.30 4.10 11.80 13.70 6.60 2.10 0.10 0.40 1.00 2.40 2.70 3.20 39,528.30 226.90 294.10 32.80 10,000,000 5,000,000 15,000,000 10,000,000 3,000,000 2022 Q1 (1.00) 2022 02 (1.00) 0.20 (0.10) 0.30 1.10 10.10 0.10 1.10 10.50 1.30 0.10 1.20 0.10 0.30 0.30 0.30 0.50 6.00 5.70 3.80 3.70 3.20 3.20 18,626.10 20,672.20 190.20 182.40 231.70 213.90 55.70 48.60 2022 Q1 2022 02 2022 Q3 (0.20) 1.00 2022 Q4 6.70 8.30 0.60 1.70 10.80 1.50 0.10 5.20 6.50 10.20 1.60 0.10 0.30 0.30 0.60 0.80 5.40 5.10 3.70 3.60 3.20 3.20 22,090.90 24,004.10 174.80 171.90 196.10 184.20 43.60 39.40 2022 Q3 2022 Q4 2023 01 6.70 8.40 2023 Q2 6.70 8.50 5.50 4.90 7.00 6.40 9.10 9.60 1.70 1.80 0.10 0.10 0.30 0.40 0.90 1.10 4.80 4.50 3.60 3.20 3.50 3.20 25,976.50 28,166.20 172.00 174.70 178.20 178.20 36.30 33,30 2023 01 2023 Q2 2023 Q3 6.70 8.80 4.40 6.10 8.50 2.00 0.10 0.50 1.20 4.20 3.40 3.20 30,648.80 177.30 178.20 30.30 2023 Q3Step by Step Solution
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