Stress Test Analyzer processes macroeconomic stress scenarios – forecasts on the development of macroeconomic variables such as GDP – that you can choose at random. A set of historical macro stress scenarios, as well as scenarios simulated using a global macroeconometric model (GVAR) are incorporated by default.
The tool covers all countries worldwide and a period of 20 years.
Each stress scenario is translated into shift factors for default rates and PDs; depending on your needs, this can be done for various industries, sub-portfolios in LB-Rating, regions and countries, or average CDS spreads per rating classe.
For each forecast year, stressed migration matrices and PD profiles can be generated and their immediate impact on your portfolio analyzed. Time periods and quantiles are freely selectable. (Quantiles of mid-spread changes can be analyzed for freely specifiable historical time periods.)
In addition, the tool allows you to freely define groups of countries or companies from the CDS dataset, for which empirical stress scenarios (adjusted for portfolio specifics) will be determined.
All results are also visualized graphically, showing respective PD shifts or CDS premiums/discounts.