Stress Test Analyzer

For analyzing stress scenarious and their effects

Get stress-tested, stress-free – with RSU support

Financial institutions and insurance companies are required to assess compliance with regulatory capital requirements on an ongoing basis. Regular stress tests are part of this: They quantify how potential crises would affect the quality of the loan or investment portfolio, allowing organizations to make adequate risk provisions and adjust their risk capital requirements if necessary.

Stress Test Analyzer by RSU ANALTICS is a powerful web-based tool that meets all of these requirements and provides additional convenience.


Your benefits at a glance:

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.

Stress Test Analyzer meets all methodological requirements of the EBA/ECB

as well as of national regulations (MaRisk, MaSan, the German Banking Act (“KWG”)). As the forecast on CDS spread trajectories helps to cover some of the market risk, Stress Test Analyzer is also useful for managing economic risk.

More helpful tools from RSU ANALYTICS:

Loss estimation

As credit default usually concerns only a part of the amount owed, professional risk assessment includes an estimation of losses. We have just the right toolkit for you.

Risk Analyzer

Get monthly estimates of creditworthiness for listed companies and financial institutions worldwide, as well as for defined peer groups.

Questions? We’ll be happy to answer them.
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