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The next Euroconstruct conference will take place in Munich on 11/12 December hosted by the IFO Institute of Economic Research. For more details and to register, please click the link below:
Stress testing is important from both a regulatory and a managerial standpoint. Basel II mandates certain portfolio stress tests alongside its prescriptions for capital approaches. Regulators might also want to see more rigorous stress testing over a longer period since this ability gives strong evidence of the lender's analytical capabilities.
Experian builds bespoke models linking your data on probability of default, exposure at default and loss given default to alternative economic scenarios, to quantify the impact that different outcomes will have on a client portfolio. This approach also lends itself nicely to the 1-in-25 year shock currently required under Basel II compliance.