bg-arrow-down icon-arrow-up icon-back-to-top icon-linkedin icon-menu icon-search icon-twitter logo-white slider-arrow-left-gray slider-arrow-left slider-arrow-right-gray slider-arrow-right

PPNR Stress Test CCAR/DFAST Statistical Testing

Confirming Residual Normality — A Necessary Step of Only Modest Value

PPNR Stress Testing models are largely developed using linear regression analysis, a key assumption of which is that a model’s residuals are “normal” (roughly, that a histogram of the residuals is bell-shaped). In this Perspective, we describe residual normality, characterize the more popular tests for normality, and share our views on the proper testing framework. We also point out the reality that testing for residual normality is generally low value-add: understanding why residuals should be normal is important, but the normality test should have a limited role in model evaluation. Normality: A Practical Primer When building a linear regression model, ...

Read more

For more information, contact Novantas Marketing

+1 (212) 901-2772

Related Materials

novantas perspective

Rates Rise As Client Behavior Is Shifting

In the early stages of the rising-rate environment, banks have been able to substantially lag rates across all lines of business.

novantas perspective

Commercial Banking Performance — 3rd Quarter 2016

Commercial LOB earnings recovered from last quarter’s one-time spike in loan loss provision

novantas perspective

Improving Usefulness of PPNR CCAR Stress Test Models

Adding 30+ Years of Rate Data to Deposit Balance Models.

Please enter your email for verification:

Full Name (required)
Title (required)
Institution (required)
Email (required)
Select Product (one required)

PriceTek Deposits
PriceTek Loans
PriceTek Mortgage
PriceTek Offer Engine
BankChoice Monitor

Phone Number (optional)
Description of Need (optional)