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Aggregation Level in StressTesting Models Galina Hale,a John Krainer,b and Erin McCarthy aFederal Reserve Bank of San Francisco b Federal Reserve Board of GovernorsWe explore the question of optimal

How to fill out aggregation level in stress-testing

How to fill out aggregation level in stress-testing

1. Identify the key data metrics to be aggregated.
2. Determine the granularity level required for the analysis (e.g., daily, weekly, monthly).
3. Select the data sources that will be used for aggregation.
4. Establish the methodology for aggregation (e.g., sum, average, weighted average).
5. Input the relevant data into the designated system or platform.
6. Check for any outliers or inconsistencies in the data prior to final aggregation.
7. Review the aggregated results to ensure they meet the specified requirements.
8. Document the aggregation process and results for transparency and future reference.

Who needs aggregation level in stress-testing?

1. Risk management teams that assess potential financial impacts.
2. Regulatory bodies that require stress-testing reports.
3. Financial analysts evaluating the stability of financial institutions.
4. Senior management making strategic decisions based on risk assessments.
5. Investors seeking to understand risks associated with their investments.

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What is aggregation level in stress-testing?

The aggregation level in stress-testing refers to the extent to which financial data or exposure is combined to assess risk. It can represent various levels of granularity, from individual assets to whole portfolios.

Who is required to file aggregation level in stress-testing?

Financial institutions, including banks and other regulatory bodies, are required to file aggregation levels in stress-testing to demonstrate their risk management capabilities and compliance with regulatory standards.

How to fill out aggregation level in stress-testing?

To fill out the aggregation level in stress-testing, institutions must collect relevant data, determine the appropriate levels of aggregation based on risk assessments, and report the aggregated figures in the specified format required by regulators.

What is the purpose of aggregation level in stress-testing?

The purpose of aggregation level in stress-testing is to provide a clear understanding of potential risks at different levels of an institution's operations, facilitating more effective risk management and regulatory compliance.

What information must be reported on aggregation level in stress-testing?

Information that must be reported includes the types of exposures aggregated, the methodologies used for aggregation, the resultant figures reflecting risks at different levels, and any assumptions made during the process.