All European major banking groups are regulated by the ECB, and have to perform regular stress-test exercises to assess the robustness of their profitability and solvency to several macroeconomic parameters.
Accuracy supports several banking groups, including Société Générale and BPCE, by building group-wide quantitative models.
Key Takeaway
Regulatory constraints were strengthened following the 2008 financial crisis. Stress-test exercises are one of the tools that limit the risk of similar financial troubles reoccurring at a global level.
Both for regulatory and monitoring purposes, banks need to be able to perform agile projections of their balance sheets and income statement under several macroeconomic scenarios, for each business line, geography and product.
Accuracy Role
Over several months, we defined the granularity of the stress-test model (by business lines, geographies and products), identified key drivers by performing statistical correlation analysis, coded prototypes (using Excel, R and Python), documented our works, performed back-testing of the model, and finally trained internal teams to use the validated quantitative model.
