RC-ICAAP and Stress Testing System provides a wide range of ICAAP calculations suitable for Pillar II requirements for banks or asset managers. These calculations are generated for current and future periods under macro stresses.
The stress testing functionality permits the generation of a wide range of scenarios using powerful conditional Bayesian techniques.
The framework provides reports which may be processed flexibly to generate regulatory requirements.
How it works
The model has an embedded statistical macroeconomic model in which scenarios may be created as deviations from a central forecast.
Routines provide current and projected capital measures and financial ratios based on bespoke modelling of the organisation’s financial statements.
A wide range of reports are available and additional reports may be constructed flexibly from downloads of intermediate results.
For more information, contact us.