COVID-19 Porfolio Stress Testing

Portfolio Stress Testing

Understand portfolio behavior and get ready to take immediate measures to soften impact of the coming crisis to your bank.

Immediate response is critical.

Banks need to quickly adjust to the new market conditions. Understanding of gravity of the new situation and its impact to the bank portfolio is critical first step in taking right decisions to safely overcome the crisis. The stress testing tailored to specific segments of the portfolio will help you to understand possible portfolio behavior in specific market conditions.

Remote project delivery

COVID 19 spreading around the globe limits the possibility of on-site project delivery. We believe that a remote project with an experienced partner such as Adastra with a structured approach to portfolio stress testing is the best way to go.
 

Project scope

We will help you execute end to end stress testing remotely with our battle tested stress testing framework. As a result we will simulate portfolio behavior in stress situations and its impact on expected credit loss. Also we will help you to incorporate PD and LGD adjusted based on expected macroeconomic development into collections segmentation and other risk processes.
During the project we will:

  • help you to gather needed data & perform data quality checks,
  • segment your portfolio into groups with likely similar effect of expected shocks on PD and LGD,
  • model macroeconomic impact on PDs and LGD in every portfolio segment,
  • perform scenario analysis of possible negative shocks and calculate adjusted PD & LGD,
  • calculate expected credit loss for current and future portfolio in stress situations,
  • incorporate PD and LGD adjusted based on macroeconomic development into collections segmentation and other risk processes.

Timing:
4-6 weeks according to the number of products

Why Choose Adastra?

Adastra Business Consulting, member of Adastra Group, has extensive experience in banking industry with track record of 400+ successfully delivered projects including projects related to portfolio review, provisioning optimization and stress testing for large international banks. We also helped many large banking groups such as UniCredit, Raiffeisen, Societe Generale, Sberbank, OTP and others to overcome impacts of 2008 financial crisis.

Get the expert cookbook today, start implementing tomorrow.

Thank you

We will contact you as soon as possible.

Miroslav Kolář

CEO Adastra Business Consulting

Miroslav Kolář