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Asset Quality Review & Stress Testing

EU-wide 2016 stress testing results

By | Asset Quality Review & Stress Testing

We have put the EU wide stress test 2016 data published by EBA into a user friendly environment. The use can compare the resulst of different banks in different countries and jurisdictions.We will repeat this exercise in November 2018 once the new results are available.

 

All OSIS tools are available online and accessible through desktop or mobile devices.If you need mor detail, please contact us.

LoanPilot™ EU Stress Test Model Library

By | Asset Quality Review & Stress Testing, News

EBA_EU-wide_Stress_Testing_2014__Interactive_Analysis-14

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.

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2014 EU – Wide Stress Test results

By | Asset Quality Review & Stress Testing, News

We have created a convenient interactive analysis of the 2014 EU-wide stress test results on our LoanCracker™ platform.

It will provide you a deeper insight into the stress test results, in particular analysis of the credit risk related elements of the stress test and AQR. You can view the stress test results by bank, country of exposure, stress test scenario and asset class. We blend in additional information on risk parameters like default and loss rates, probability of default (PD) and loss given default (LGD) together with the macro economic stresses applied.

In order to get access please click and use as logon name: EU-wide and as password: 2014.

LoanCracker™ EU Stress test

Tablet users need to install Tableau first, a free app and use this link: http://ec2-54-228-169-90.eu-west-1.compute.amazonaws.com/auth?destination=%2Fviews. The LogID and password remain the same.

In case of any questions or remarks please contact us at info@os-is.com

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