Economic Stress Testing

Can you accurately predict the impact of specific economic scenarios on your portfolios?

Economic stress testing enables you to understand the critical sensitivities of your portfolios to significant economic change and the related implications for provisioning, capital allocation and regulatory compliance. Basel II and III mandate key portfolio stress tests alongside prescriptions for safeguarding capital and reserves.

When developing methodologies for stress testing, it's vital to ensure programmes adequately address a range of economic scenarios for both regulatory and managerial purposes.

We help organisations like yours assess and develop scenarios by using a combination of skilled economists, analysts and credit risk consultants.

Rather than relying on generalised macro-economic assumptions, our extensive and detailed economic models allow alternative scenarios to be clearly defined, while taking into account the impact of regional economic and household factors. This in turn highlights the economic impact and probability of default to help safeguard against losses at an account level.

Analysis can include PRA anchor scenarios and severe client-developed stress scenarios.

Our approach

  • Experian’s consultants build customised models linking client account portfolio data to help analyse the probability of default and exposure to loss - all based on alternative economic scenarios. We also have extensive experience of building risk, component (PD, EAD and LGD), and capital requirements models, which take account of a host of economic and non-economic factors. Our models are designed and implemented to maximise value to clients while helping ensure regulatory compliance.
  • Our economics consultancy team offers forecasts covering a wider-range of industry sectors, including occupations and skills forecasts, or forecasts for non-administrative boundaries within specified catchment areas, or postal geographies.

You get:

  • Customised stress tests
  • Calibration services to incorporate macro-economic variables in existing models
  • Stress testing and loss forecasting models
  • Stress tests and alternative scenarios for commercial and consumer portfolios
  • Fully documented, transparent models and methodologies to help meet regulatory requirements

Our approach enhances your ability to stress test portfolios. We help evaluate how well they are likely to withstand different economic scenarios for both internal financial budgeting and to help meet increasingly demanding regulatory requirements.

Contact us and discover how we can help your business thrive

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