Large Bank Examination Workshop February 2026

Capital Planning with Stress-Testing

Baseline Calculations

Stress Calculations

Input Data

Reporting

Wholesale/ Retail Exposures

Stress Liability Balance

Asset Balance Forecast

Stress Asset Balance

Baseline P&L &Balance Sheet

Common Hierarchies – LOB, Asset Class etc GL Data

Stress Credit Loss

Liability Balance Forecast

Stress NIM

Stress Trading and Counterparty losses

Baseline Capital Adequacy

NIM / PPNR

Mitigant Information

Stress Capital Requirement

Stress Provisions

Cash-flow

Asset Correlation Info

Credit Loss

Pro-Forma Stress Balance Sheet

Stress P&L and Balance Sheet

Risk Factor Data

Pro-Forma Stress P&L

Reserves / Provisions

Other Historical Data PD, LGD, Rating Migration matrix Customer Info

Stress Scenario

Stress Capital Adequacy

Retained Earnings

Other Common Tasks

Variables

Variable Forecasts

Trading and Counterparty Losses

Valuations

Capital Plan Document

Risk Appetite Monitoring

Market data

Shocks

Scenarios

Capital Adequacy

Model Risk Assessment

Models and Methods

Model Information and Model Risk Assessment Risk Appetite Definition and Monitoring

Trade data

Data Quality Checks, GL Reconciliation, Adjustments

Action Plan

Securitized Exposures

Data Foundation

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Stress Testing Questions

• Under which scenarios is the business model seriously endangered? • What will cause the business model to fail? • What happens to the business in the next crisis? • Which risk drivers are relevant to the business? • In which scenarios would the largest sensitivities lead to major losses? • Whom should be involved in the design, modelling and evaluation of stress scenarios?

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