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
- Historical Replications and Qualitative Overrides
- Risk-Factor Identification
- Qualitative Shock Design and Overlays
- Scenario Generation Algorithm Design
- Econometric Modelling
- STP of Expansion Outputs
- Visualization and Reporting
- Approval Workflows and Audit Trails
- Scenario Review and Approvals
- Orchestration Platform
- Scenario Execution Plan and Tracking
- Integration with Pricing and Risk Systems
- Aggregation & Reporting
- Risk Committee Reports
- Stress Heat Maps and Dashboards
- Governance processes for qualitative overlays
- 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
Comprehensive understanding of stress-testing regulatory requirements and rich experience in helping banks comply with Basel II/III norms, the Volcker Rule, the EU Capital Requirements Directives, and the Dodd-Frank Act
Deep understanding of macroeconomic parameters, their interconnectedness, and how they impact various aspects of capital and liquidity needs of clients
Extensive experience developing stress-testing frameworks (integrated with valuation models/packages) tailored to suit clients' unique needs
Vast experience in forecasting and model validation (both proprietary models and third-party packages)
Expertise in data management technologies and tools such as Oracle and SQL server databases, Big Data, and Reporting/BI tools