Stress Testing

S&P Capital IQ stress testing capabilities assists financial institutions with supervisory scenarios including Federal Reserve CCAR scenarios, FSA Anchor Scenario, EBA stressed scenarios, IMF scenarios and other scenarios proposed by local authorities or custom scenarios defined by a client's own assumptions. S&P Capital IQ Stress Testing Services applies practical methods to generate/discover finite representative collections of plausible yet severe macro-prudential (economy-wide) and micro-prudential (firm-specific) scenarios. These scenarios are conditioned on current information (including current macroeconomic, index, and industry information) and can be conditioned on future scenario specifications to accommodate regulatory stress testing requirements, e.g., the CCAR requirements.

Our stress testing approach:

  1. Incorporates the effect of correlations dynamically;
  2. Enables the use of external data in calibration of the model;
  3. Aligns with the Basel principles and regulatory requirements; and
  4. Applies a convenient methodology, where stressed PDs and LGDs can be simulated in a correlated fashion to estimate portfolio expected losses under selected stress scenarios including quarterly point-in-time charge-offs.

Stress Testing Services include a complete set of in-depth reports that can help gain regulatory approval, including Federal Reserve CCAR scenarios, FSA Anchor Scenario, EBA stressed scenarios; assist with the internal audit/validation teams and comply with stress testing requirements.

Learn more about our stress testing capabilities.