Stress Testing

For banks, few functions match stress testing in terms of sensitivity and importance. For that reason, we are proud that so many global banks rely on CRISIL for stress-testing expertise and support. 

 

CRISIL helps clients design enterprise-wide stress-testing processes, and assists in every phase of stress testing, from model development and validation, to framework design, platform development and test execution. Our offerings cover the full range of stress-test activities and functions, including data management and rationalization, systems integration, model development, model documentation, model validation, reporting and risk management. Our expertise and experience extends across the full slate of stress-test models, including Loan Loss Forecasting and Pre-Provision Net Revenue (PPNR) Projection models. 

 

Our in-depth knowledge of Basel and regulatory requirements across jurisdictions allows us to execute complex capital modelling assignments well within regulatory deadlines. 

 

The value we bring

  • Benchmarking with peer banks to ensure the practical applicability and robustness of forecasts.
  • Expert overlays leveraging industry experience, subject matter experts and in-house economists ensure forecast reliability
  • Scenario probability weights calculated with proprietary methodology based on robust historical data
  • Extensive data services for macroeconomic variables

 

Solution Components

Scenario Design and Expansion

  • Historical Replications and Qualitative Overrides
  • Risk-Factor Identification
  • Qualitative Shock Design and Overlays
  • Scenario Generation Algorithm Design
  • Econometric Modelling

Scenario Review and Publication

  • STP of Expansion Outputs
  • Visualization and Reporting
  • Approval Workflows and Audit Trails
  • Scenario Review and Approvals

Scenario Execution and Reporting

  • Orchestration Platform
  • Scenario Execution Plan and Tracking
  • Integration with Pricing and Risk Systems
  • Aggregation & Reporting

Governance and Assimilation

  • Risk Committee Reports
  • Stress Heat Maps and Dashboards
  • Governance processes for qualitative overlays

Regulatory Compliance

  • Regulatory Interpretation
  • Data and Scenario Transformations
  • Regulatory Submissions
  • Regulatory Audits
  • Reconciliations



Execution Accelerators

 

Scenario Expansion Manager (SEM)

 

CRISIL's SEM is a centralised, one-stop scenario expansion platform for regulatory and internal stress testing, enabling operational efficiencies and cost savings.

  • Provides a modelling framework to design, expand, analyse and track regulatory and internal scenarios;
  • Facilitates sharing of internal scenarios between financial institutions to aid model development, leading to reduced costs and convergence to industry best practices;
  • Enables timely decision making via a reusable and transparent platform.

 

 

CRISIL EDGE

Knowledge Centre

 

 

 

Case Studies

Questions

 

Looking for high-end research and risk services? Reach out to us at:

 

United States
1-855-595-2100/
+1 646 292 3520

 

United Kingdom
+44 (0) 870 333 6336

 

 

India
+91 22 33 42 3000 /
+91 22 61 72 3000