Scenario Generation/ Expansion Models for stress testing of capital plans under regulatory and internal stress testing requirements for a large Global Bank

To help a large global bank meet internal and regulatory requirements (CCAR, UKIB Pillar 2B ICAAP) by generating Scenarios/Expansion Models for various financial parameters for stress testing of capital plans.

• Employed MLR, ECM, Large Bayesian VAR/VARX and other Time Series models
• Developed automated codes in R-Project
• Developed Acceptance Criteria framework that proved useful for model selection and classification as Primary or Alternate model
• Performed Sensitivity analysis to identify inherent uncertainties in an econometric model
• Benchmarked model performance under Baseline and Severely Adverse CCAR scenarios to available scenario forecasts
  

Crisil's robust, theoretically sound models and high-quality methodology reports enabled bank to meet all internal and regulatory requirements.