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