Stress Testing

Today, banks perform multiple forms of stress tests including:

• Regulatory stress tests; for example the Bank of England’s annual concurrent stress test, the EBA stress test, and the Federal Reserve’s CCAR;
• Stress tests incorporated into regulatory submissions including ICAAP (capital), ILAAP (liquidity) and recovery planning (integrating capital and liquidity);
• Reverse stress tests; and
• Business line, product level, or specific risk-type stress testing for internal risk management purposes.

As the extent, nature, complexity and timescales of stress testing becomes more demanding for banks, challenges have emerged including data quality, model suitability, control and governance; reporting and process efficiency.

OFFERING

Avantage Reply has extensive experience working with financial institutions in all aspects of stress testing including:

• Regulatory stress tests: Assisting with the planning and delivery of regulatory stress testing exercises (e.g. EBA, BoE) in an execution or review and challenge role;
• Stress test model management: Advising or assisting with the development or validation of stress testing projections models;
• Data and reporting: Developing and implementing policies and procedures to enhance data quality, data management, documentation, report generation, and internal controls;
• Process design, enhancement and automation: Performing process analysis and deep dives with a view to proposing and implementing efficiency-generating enhancements; including technology enabled automation solutions.

RELATED CONTENT

• Bank of England Stress Tests: Unfinished business - briefing note
• Data Robotics White Paper

RELATED CASE STUDIES

• Case Study - EBA & ECB Stress Testing
• Case Study - Solvent Wind down and Portfolio wide Stress Testing Data Submissions