Econometric Modelling to assess the vulnerability of a select portfolio to "exceptional but plausible" macroeconomic shocks for a large Europe based Investment Bank
Client : Large European Investment Bank
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Objective
To help a large European Investment Bank assess the vulnerability of a select portfolio to "exceptional but plausible" macroeconomic shocks.
CRISIL's Solution
CRISIL’s team of experts conducted econometric analysis of the risk factors data to develop appropriate statistical models covering 14 different types of macro-economic variables including economic growth (GDP), price stability (WPI, CPI), interest rates, financial market performance (Dow Jones, NYMEX), and FX.
Client Impact
The CRISL model, which was delivered on time and within budget, outperformed the Investment Bank’s original (direct shock approach) benchmark in terms of capital optimization.
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