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

 

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.

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