For banks, few functions match stress testing in terms of sensitivity and importance. For that reason, we are proud that so many global banks rely on CRISIL for stress-testing expertise and support.
CRISIL helps clients design enterprise-wide stress-testing processes, and assists in every phase of stress testing, from model development and validation, to framework design, platform development and test execution. Our offerings cover the full range of stress-test activities and functions, including data management and rationalization, systems integration, model development, model documentation, model validation, reporting and risk management. Our expertise and experience extends across the full slate of stress-test models, including Loan Loss Forecasting and Pre-Provision Net Revenue (PPNR) Projection models.
Our in-depth knowledge of Basel and regulatory requirements across jurisdictions allows us to execute complex capital modelling assignments well within regulatory deadlines.
The value we bring
Benchmarking with peer banks to ensure the practical applicability and robustness of forecasts.
Expert overlays leveraging industry experience, subject matter experts and in-house economists ensure forecast reliability
Scenario probability weights calculated with proprietary methodology based on robust historical data
Extensive data services for macroeconomic variables
Solution Components
Scenario Design and Expansion
Historical Replications and Qualitative Overrides
Risk-Factor Identification
Qualitative Shock Design and Overlays
Scenario Generation Algorithm Design
Econometric Modelling
Scenario Review and Publication
STP of Expansion Outputs
Visualization and Reporting
Approval Workflows and Audit Trails
Scenario Review and Approvals
Scenario Execution and Reporting
Orchestration Platform
Scenario Execution Plan and Tracking
Integration with Pricing and Risk Systems
Aggregation & Reporting
Governance and Assimilation
Risk Committee Reports
Stress Heat Maps and Dashboards
Governance processes for qualitative overlays
Regulatory Compliance
Regulatory Interpretation
Data and Scenario Transformations
Regulatory Submissions
Regulatory Audits
Reconciliations
Execution Accelerators
Scenario Expansion Manager (SEM)
CRISIL's SEM is a centralised, one-stop scenario expansion platform for regulatory and internal stress testing, enabling operational efficiencies and cost savings.
Provides a modelling framework to design, expand, analyse and track regulatory and internal scenarios;
Facilitates sharing of internal scenarios between financial institutions to aid model development, leading to reduced costs and convergence to industry best practices;
Enables timely decision making via a reusable and transparent platform.
Comprehensive understanding of stress-testing regulatory requirements and rich experience in helping banks comply with Basel II/III norms, the Volcker Rule, the EU Capital Requirements Directives, and the Dodd-Frank Act
Deep understanding of macroeconomic parameters, their interconnectedness, and how they impact various aspects of capital and liquidity needs of clients
Extensive experience developing stress-testing frameworks (integrated with valuation models/packages) tailored to suit clients' unique needs
Vast experience in forecasting and model validation (both proprietary models and third-party packages)
Expertise in data management technologies and tools such as Oracle and SQL server databases, Big Data, and Reporting/BI tools
Comprehensive understanding of stress-testing regulatory requirements and rich experience in helping banks comply with Basel II/III norms, the Volcker Rule, the EU Capital Requirements Directives, and the Dodd-Frank Act
Deep understanding of macroeconomic parameters, their interconnectedness, and how they impact various aspects of capital and liquidity needs of clients
Extensive experience developing stress-testing frameworks (integrated with valuation models/packages) tailored to suit clients' unique needs
Vast experience in forecasting and model validation (both proprietary models and third-party packages)
Expertise in data management technologies and tools such as Oracle and SQL server databases, Big Data, and Reporting/BI tools