Stress Testing
Stress testing is a fundamental element of risk management. Our analytics provide the flexibility to use external scenarios such as those run by the regulators or internal corporate divisions. Key parameters include interest rates, housing prices, and unemployment.
Loss Forecasting
Loan loss analysis is critical for the determination of loan loss reserves, including CECL. The current methodology is incurred losses, which are four-quarter projections of losses based upon current economic conditions. In addition, we provide attribution of changes in incurred losses. This attribution analysis reflects changes due to portfolio composition and different macroeconomic assumptions.
Risk-Based Capital
As a result of our consulting experience, we have developed a series of metrics to be used for risk-based capital. The calculations are performed using our proprietary models or applying client models as well. Topics include asset-level risk-based capital, as well as diversification across portfolios, as well as risk categories (market, credit, counterparty, operational).
