Scenario Generation/ Expansion Models for stress testing of capital plans under regulatory and internal stress testing requirements for a large Global Bank
Client : Global Bank
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Objective
To help a large global bank meet internal and regulatory requirements (CCAR, UKIB Pillar 2B ICAAP) by generating Scenarios/Expansion Models for various financial parameters for stress testing of capital plans.
CRISIL's Solution
Employed MLR, ECM, Large Bayesian VAR/VARX and other Time Series models
Developed automated codes in R-Project
Developed Acceptance Criteria framework that proved useful for model selection and classification as Primary or Alternate model
Performed Sensitivity analysis to identify inherent uncertainties in an econometric model
Benchmarked model performance under Baseline and Severely Adverse CCAR scenarios to available scenario forecasts
Client Impact
CRISIL's robust, theoretically sound models and high-quality methodology reports enabled bank to meet all internal and regulatory requirements.
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