Stress testing and liquidity
Regulators require stress tests, and they are usually stitched together by hand from a dozen spreadsheets, so rerunning a scenario quickly is impossible. We build one model covering portfolio data, macro scenarios, losses, capital and liquidity. The results can be reproduced, explained and filed with the regulator.
- The stress test is assembled by hand from many Excel files
- A new scenario from the regulator or the board takes weeks to run
- Interest-rate and liquidity risk are only visible after the fact
- It is hard to explain where the final figure came from
- A new scenario is rerun without manual data assembly
- Liquidity and interest-rate risk are visible ahead of time, not after the fact
- Every figure in the report can be traced back to source data
- The methodology holds up to questions from the auditor and the regulator
Four steps
Portfolio data
We bring assets, liabilities and cash flows into one place and reconcile them to the balance sheet, using Snowflake when volumes are large.
Scenarios
We set baseline and stress macro scenarios with your team, in line with regulatory requirements.
Calculation
We link scenarios to credit losses, interest-rate risk, capital and liquidity gaps. The model can share parameters with your IFRS 9 provisioning.
Reporting and handover
We prepare reports for the board and the regulator, document the methodology and train your team to rerun scenarios on their own.