Our advisory services focus on the regulatory and risk management needs of our clients seeking to implement or enhance their firm-wide stress testing framework by benefiting from the industry’s most advanced scenario generator, Sceneco.
The range of offered services includes:
- Development of a firm-wide and consistent stress testing approach across market and credit risk portfolios
- Generation of realistic and coherent stochastic stress scenarios
- Ensuring consistency with regulatory stress tests
- Stress testing of agency rated, commercial, and consumer loan portfolios, and structured loan portfolios
- Differentiation between market risk and credit risk of credit portfolios
- Design of stylized portfolios for valuation and reverse stress testing
- Derivation of reverse stress scenarios with assigned story lines
- Compliance with CCAR, EBA, or ORSA stress testing requirements