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Stress Testing

Are you ready for the next regulatory stress test? Are you aware of all your risks – particularly the tail risks?
Designed to meet regulatory, ICAAP and strategic requirements

The European Regulators (EBA) oblige banking institutions to take part in a multitude of different regulatory stress tests. The requirements for the stress tests change frequently and are becoming more and more stringent – putting pressure on our clients as regards their ability to follow and model changes in the requirements.

Stress testing is also an important tool for any institutions to understand its risks, Finalyse is ready to help its clients understand their tail risks and hidden vulnerabilities using also reverse stress testing approach.

How does Finalyse address your challenges?

Analysis of the stress testing regulatory requirements (scenarios including macroeconomic variables) and their applicability

Modelling the scenarios and conducting an impact assessment to gauge the performance of the existing models and identifying outliers

Assessment of portfolio dynamics and portfolio weaknesses in extreme but plausible events as well as identification of concealed correlations in portfolio

Supporting the Internal Capital Adequacy Assessment Process (ICAAP) for all asset classes

Ensuring sound governance processes and control mechanisms relating to stress testing

Generating simulation toolkits for model validation and business users

To get all your questions answered
Contact us

How does it work in practice?

For regulatory stress test, the regulator’s material is analysed. For non-regulatory stress tests (including reverse stress tests) we seek to tailor our approach to your needs. Based to the above the model gets built and run through all the necessary scenarios. The results are then analysed and interpreted as regards to their impact on the Internal Capital Adequacy Assessment Process (ICAAP) as well as on other impacted items that may be of interest to the client.

Key Features

  1. Regulatory check/compliance
  2. Model review
  3. Covers numerous risk types
  4. ICAAP impact
  5. Thorough documentation
Kingshuk Bhattacharjee
Senior Consultant - Stress Testing Expert

Kingshuk Bhattacharjee is a Senior Consultant with more than 13 years of experience in risk management, data analytics and statistical modelling. Kingshuk is an active member of Finalyse Stress Testing Centre. He has been involved in conceptualisation and development of stress-testing models using methodologies like Sensitivity analyses, Scenario analyses, Macroeconomic scenarios etc.

Alexandre Synadino
Senior Consultant - Expert Climate Risk

Alexandre Synadino is a consultant with expertise in risk data analytics, climate risk management and regulatory reporting. He is an active member of the Finalyse Climate Risk Centre. His main area of expertise lies in the research, design and development of physical risk assessments using different tools and methods. Alexandre is involved in the conceptualisation of measurement approaches to cover multiple hazard types, geographies and scenarios to respond to regulatory demands for granular and forward-looking analyses.