Stress testing & scenario modeling
Examining the scenarios behind capital planning.
A bank capital-planning validation workstream covering time-series and macroeconomic scenario forecasts.
The question
A major bank’s Comprehensive Capital Analysis and Review (CCAR) program required validation of the forecasting and economic-scenario models used in capital planning.
Adam’s work
As an engagement manager at Deloitte, Adam led a validation workstream reviewing time-series and macroeconomic scenario forecasts with SAS, MATLAB, R and Python. He also supervised scoring and automated validation-report tools.
The contribution
The work combined review of scenario forecasts with analytical and reporting tools for the validation process. Adam’s responsibility was a workstream within the broader bank program.
About this case
Drawn from contemporaneous résumé descriptions. The bank’s identity, wider project budget and confidential findings are omitted.
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