Stress test
An integrating module: it applies macro scenarios to the whole bank and shows their effect on credit losses, capital and liquidity. It takes results from other modules: default probabilities and provisions, ALM positions, risk-weighted assets. If a module is not switched on, the bank's accounting data is used instead.
The module is part of the single TRrisk platform: it works on the bank's shared data and exchanges results with the other modules. How the platform works →
What the module does
Macro scenarios
Base, adverse and severe scenarios; the bank sets the parameters.
Credit losses
Default probability, stage migration and provisions in each scenario.
Capital and ratios
Risk-weighted assets and capital adequacy under the scenario.
Liquidity
Outflows and the stock of liquid assets under stress.
Rate and currency shocks
The change in interest income and the value of equity when rates and the exchange rate move.
Reverse stress test
The scenario in which the bank breaches a ratio.
- Risk management
- The management board and the supervisory board
- The chief financial officer
- One scenario gives a consistent result for losses, capital and liquidity.
- Capital headroom is known for every scenario.
- A stress test requested by the regulator is assembled from data that is already there.
Related modules
IFRS 9
Expected credit loss (ECL) calculation: impairment stages, PD, LGD and EAD models, macro scenarios and reporting disclosures.
details →Risk and capital
Risk-weighted assets, capital adequacy ratios, concentrations and economic capital.
details →Liquidity
LCR and NSFR, regulatory liquidity ratios, the liquid asset buffer and liquidity stress.
details →Common questions
How does work start?
With a free 30-minute call with a solution architect. We go through the problem and suggest where to start. If it needs a closer look, we propose a 2–4 week diagnostic.
Which countries do you work in?
Our office is in Bishkek. We work with companies across Central Asia, on site and remotely.
What language are documentation and training in?
Russian and English. Methodology, manuals and reports are written in the language that suits your team, auditors and shareholders.
Do you sign an NDA?
Yes, before you share any data or documents with us.