CCAR Overview

CCAR stress testing came about from the Dodd Frank Act. In this video I explain the basics of what CCAR stress testing is, building models, and issues you may run into.
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[@ska9448]

I learned a lot about risk from u.

[@MrMoore0312]

Thank you!

[@quaereverum3871]

Cointegration explicitly does not require stationarity of the series. Just read the definition. So what you say around 16:00 is incorrect - two timeseries which are integrated of order 1 (hence not stationary) can certainly be cointegrated of order 0.
In fact, your equation y_t = a + bx_t isn't related to cointegration. That's the extent to which y_t can be regressed on x_t, also known as the correlation between the two series. Cointegration (of order 0) requires ax_t + by_t = z_t where z_t is a stationary timeseries. And that isn't just a distinction without a difference.

[@franklinmudole]

@quaereverum3871 I think your definition of cointegration is correct, and the difference between cointegration variables can provide stationary. Maybe this what @dimitribianco means, by stationarity-moving together.

[@randybrickson4290]

0:06
"which is Comprehensive Capital Assessment and Review"
Not quite. It's Comprehensive Capital Analysis and Review.

[@siddharthgurav6407]

It's Comprehensive Capital Adequacy and Review.