RC-Stress Testing System
Turn a macroeconomic scenario into capital requirements and provisions
The problem
Regulatory stress testing asks one hard question: if the world looks like this , what happens to our capital? Answering it usually means stitching together a macro model, a credit model, a provisioning calculation and a reporting pack — each owned by a different team, each with its own assumptions, and none of them reconciling. RC-Stress Testing System does the whole path in one place, from the macroeconomic scenario to the capital requirement and the provision, across both banking and trading books.
What it does
A built-in GVAR macro model carries a scenario across economies, then drives the credit and market-risk engines to a projected P&L, provisions and capital requirement for every period — with expert-judgment overrides at every stage.
Who uses it
Bank risk and finance functions, Multilateral development banks, Central banks, Insurers, Asset managers running ICAAP
What’s inside
Scenario workBuilt-in GVAR global macro model · Shocks and overrides, including FX · Scenario forecast against base case · Your own models as scripts
Credit and market riskBasel IRB expected and unexpected loss · Single-name concentration add-on · Rated-exposure forecasts from transition matrices · Rate, FX, equity and commodity positions
OutputsAccumulated profit and loss · Provisions for credit losses · Capital requirements · Multi-period projections
GovernancePublish and lock results · Copy and re-run calculations · Audit trail · Excel export of up to 50 calculations
What changes for your risk team
- One path from a macroeconomic scenario to capital and provisions — no hand-offs between teams whose numbers do not reconcile.
- Results that are reproducible: every past input is stored and can be re-used.
- Output senior management can read, not only the quant team.
How it feeds the rest of the suite
- Stress Testing dashboard: summary, full scenario results and macro forecasts
- RC-Economic Capital System: stressed results in the capital dashboard
Papers built on this model
Forecasting Assets under Management for Stress Testing and Strategy Purposes
Note available here. For stress testing and strategy formulation, it is important for asset managers to forecast their Assets under Management (AUM) accurately. This paper develops statistical methods for forecasting AUM and applies them to data for 2,494 UK,…
Full text · figuresRating Correlations and Macro Stress Testing
Authors: William Perraudin and Siyi Zhou This paper analyses the dynamics of credit ratings. We devise statistical techniques for estimating both intra- and inter-industry correlations between factors driving ratings changes. The analysis is performed…
Full text · figuresScenario-based RORC Optimisation for a Bank Loan Book
Note available here. More information on the software used in this study here. Efficient management of banks, in the current regulatory environment, requires economical use of regulatory capital. To achieve this, banks should evaluate, for each business…
Full text · figuresSee RC-Stress Testing System on your own data
A demo takes an hour. A pilot on your portfolio takes weeks, not quarters.