Stress-testing – Moody’s Analytics


Enterprise-wide stress-testing product of the year
Credit stress-testing product of the year

Olivier Brucker, Moody's Analytics
Olivier Brucker, Moody’s Analytics

For enterprise-wide stress-testing and the specific challenges of credit stress-testing, Moody’s Analytics offers a suite of applications, plus asset class-specific loss estimation models and forward-looking macroeconomic scenarios. 

Scenario Analyzer enables banks to implement transparent, repeatable and auditable stress-testing processes that integrate data, models and reports. It facilitates end-to-end bank-wide stress-testing and capital planning exercises, with a workflow to orchestrate and review data before regulatory submissions. Model management and governance are improved through its framework for data aggregation and consolidation across multiple systems 

The platform allows banks to integrate and validate internally developed and Moody’s Analytics models through a centralised model catalogue and open architecture. Economic, financial and risk data is stored in a single-source central repository. Support for multiple hierarchies and dimensions across the business enable granular forecasting, with integrated regulatory reporting and business intelligence analytics.

Capital Risk Analyzer is a cloud solution that combines economic, credit and accounting expertise to help organisations evaluate strategic decisions based on financial and regulatory metrics for capital planning and stress-testing. Users can undertake financial statement forecasts for regulatory stress-testing and benchmarking, as well as assess the impact of multiple scenarios considering macroeconomic conditions and firm-specific factors for a quick and detailed strategic analysis. The impact of credit losses, interest income, loan balance growth and risk-weighted assets projections on capital ratios and balance-sheet forecasts can be visualised. The understanding of sensitivities the solution provides gives users the ability to define and modify their planning structure at the macro and micro levels.

The judges said:

  • Moody’s Analytics offers a best-in-class blueprint for the still-evolving category of enterprise-wide stress-testing. Its solution is comprehensive in scope and rich in functionality.
  • For credit stress-testing, the company has leading models and sophisticated data integration.

Olivier Brucker, senior director, Moody’s Analytics, says:

“For banks, assessing and managing their financial risk is more important than ever. Stress-testing, and understanding the potential impacts of different scenarios – for example, a pandemic – plays a critical role in how they manage that risk. The Moody’s Analytics Stress Testing Suite drives stress-testing programmes at financial institutions around the world. Our customers still need to respond quickly to regulatory requests – but also to put the results of their stress-testing exercises to good use by extracting maximum business value. Our suite of modular, integrated solutions helps them achieve both goals, with the insights they gain in the process leading to better, more strategic decisions.”

Read more about the Risk Technology Awards 2020 winners


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