Today we announce a model library which answers everything a stress test modeller wanted to know about his peers but never dare to ask the supervisor.
Right after the publication of the EU wide stress test 2014 by EBA we made a free and easy analysis of the published data available through our analytical platform LoanCracker™. In the meantime we added new features, improved the user friendliness of the tool and added Approach and User Manual LoanCracker™ EU Stress Test.
Through reverse back engineering we were able to back out a library of stress test models which best mirrored all the stress test models used by the banks in EU wide stress test 2014 exercise. A limited version of the library is accessible for free together with EU Stress test results.
Here you find the Approach and User Manual LoanPilot™ EU Stress Test Model Library.
It is a wealth of information useful for benchmarking and model calibration by bank modellers and investors. With this library we were able lift a tip of the veil on hard to get private bank loss data and therefore it is particular interesting for US banks in their C-CAR exercise and for equity or low mezzanine ABS investors. We integrate the model library into our LoanPilot™ Bayesian model framework and use it for modelling the loan level data base, to rerun the entire EU stress test on homogeneous macro-sensitivities and the Bank of England stress test coming December based on their published macro-scenarios.
If you want to subscribe to the library, please fill in the form below and we will contact you.