Formerly known as Global Research & Risk Solutions

  • Crisil Integral IQ
  • Banking
January 08, 2025 Content Type Case study

Scenario Generation/ Expansion Models for stress testing of capital plans under regulatory and internal stress testing requirements for a large Global Bank

January 08, 2025 Content Type Case study

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 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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