Regulatory Stress Testing
Following recent failures of model-based statistical approaches, Stress Testing is rapidly becoming the most trusted risk measurement approach by regulators across the globe, while pressure for regularly producing exhaustive stress tests causes a headache to most financial institutions. RiskValue offers the right tools allowing financial institutions to design, execute, and analyse regulatory stress scenarios across all asset classes with ease, automation, and peace of mind.
Main Features
- Allows integrated stress scenario incorporating credit, market, and liquidity risk factors
- Automates execution of stress test exercises issued by several regulatory authorities
- Credit risk drivers include default probabilities, loss given default, and default correlations
- Market risk drivers include equities, foreign exchange, yield curves, credit spreads, volatilities and correlations
- Liquidity risk drivers include run-off rates for funding, asset fire sales, contingent liability drawings, prepayments, rollovers, business growth
