Global Macroeconomic Model

Background The Office of the Comptroller of the Currency (OCC) charters, regulates, and supervises national banks and federal savings associations as well as issues licenses and supervises the federal branches and agencies of foreign banks. The OCC’s mission is to ensure that these institutions operate in a safe and sound manner, provide fair access to financial services, treat customers fairly, and comply with applicable laws and regulations. The OCC is an independent bureau of the U.S. Department of the Treasury. A specific requirement for the OCC is the implementation of stress tests under the Dodd-Frank Act, including the development of scenarios for those stress tests. Requirement Description The OCC’s Banking Industry Studies division of the Supervision Risk and Analysis (SR&A) Department requires licenses to a vendor’s: Global macro-econometric model software. The software should permit SR&A staff to simulate global economic and financial market shocks by country and macroeconomic sector, as well as across countries; Reports that include narrative discussion of baseline projection and stress scenarios, economic and financial drivers of the scenarios, and variable results from the vendor’s global economic and country-specific idiosyncratic stress scenarios that can be replicated and modified by SR&A staff; Access to and ability to download, store and archive global and country-specific data. The model software must have the capability for SR&A users to input and execute idiosyncratic global and country-specific economic and financial system scenario stress tests. The model must have the capability to conduct sensitivity analysis of transmission channels of financial and real sector risks to the U.S. The global model must provide ready access to results from the estimation of vendor-provided scenarios and idiosyncratic scenarios input by SR&A users. The model’s equations and linkages across country and sector shall be clear and accessible, so that transmission channels can be ascertained.