Create Econometric Models to help a European Investment Bank to assess vulnerability of a portfolio to "Exceptional But Plausible" Macroeconomic Shocks

To help a large European Investment Bank assess the vulnerability of a select portfolio to "exceptional but plausible" macroeconomic shocks.

CRISIL’s team of experts conducted econometric analysis of the risk factors data to develop appropriate statistical models covering 14 different types of macro-economic variables including economic growth (GDP), price stability (WPI, CPI), interest rates, financial market performance (Dow Jones, NYMEX), and FX.

The CRISL model, which was delivered on time and within budget, outperformed the Investment Bank’s original (direct shock approach) benchmark in terms of capital optimization.

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To help a large European Investment Bank assess the vulnerability of a select portfolio to "exceptional but plausible" macroeconomic shocks.

The CRISL model, which was delivered on time and within budget, outperformed the Investment Bank’s original (direct shock approach) benchmark in terms of capital optimization.

To help a large European Investment Bank assess the vulnerability of a select portfolio to "exceptional but plausible" macroeconomic shocks.

The CRISL model, which was delivered on time and within budget, outperformed the Investment Bank’s original (direct shock approach) benchmark in terms of capital optimization.