Large Bank Examination Workshop February 2026

Critical Success Factors • Validate stress testing results, question and refine scenarios across time • Create a real risk culture across the organization – get stress testing out of the risk function • Link stress testing results to action, e.g. outright acceptance, evaluate contingency planning

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Stress Test Components DFAST Guidelines

Macroeconomic scenarios

Macroeconomic factors

Portfolio characteristics

Risk drivers

Target metric

Historical:  Earthquake  Recessions  Credit crises Hypothetical:  Extended recession  Correlation of events  . . .

 GDP  Interest rates  Exchange rate  Debt ratio  Asset prices  Consumer sentiment  …

 Score distribution  Segment distribution  …

 PD  LGD  EAD  Utilization  Attrition  Response

 Portfolio loss (Accounting)  Portfolio loss

(Economic loss)  Provisioning/Write offs  Cap. Requirements  Reduced margins  Breakdown of new business  Fall in share price  …

 Delinquency  Process costs  …

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