Prognoz: Macro Prudential Stress Testing

Macro Prudential Stress Testing is the system of stress testing of the banking sector for prevention of financial crises.

2014: Announcement of the Macro Prudential Stress Testing system

On February 19, 2014 the Prognoz company presented a new solution - Macro Prudential Stress Testing.

Description

The solution is focused on regulators of the financial and bank markets, bankers associations and communities, rating agencies, experts, financial analysts.

The full-function Macro Prudential Stress Testing system helps to estimate influence of stressful situations on economy and possible losses of the banking sector in a crisis situation, to reveal the credit institutions, the most subject to the modelled stresses.

A system analyzes and models different scenarios of development of stressful situations in the banking sector using modern economic-mathematical methods.

In particular, users are given opportunities:

• profound stress testing of the banking sector of the country on the basis of effective macroeconomic approach;
• identification of the most subject to a stress of banks in the modelled crisis situations of world and national economy;
• the analysis of capital adequacy of the banking sector in a stressful situation;
• loss assessment, suffered as a result of emergence of macroeconomic shock.

Use of the complex of the interconnected models which is built in a system allows to reduce time and labor costs for processing and the analysis of financial data. The user-friendly interface gives ample opportunities for the financial analyst, if necessary can be adapted for simultaneous operation of several users. The principle of system operation meets requirements of world bank regulators, including Basel Committee on Banking Supervision, the World Bank and the International Monetary Fund.

Use

Stress testing in Macro Prudential Stress Testing is carried out in five steps:

• Data preparation of the bank reporting in a format of the specialized model.
• Determination of macroeconomic parameters of the stressful scenario, including using country macromodel.
• Conducting stress testing on the basis of the built-in complex of economic-mathematical models.
• Analysis and assessment of results.
• Preparation of reports on the basis of the received results.

Platform

The solution of Prognoz company is executed based on Prognoz Platform - the universal BI platform.

According to Dmitry Andrianov, the founder and the CEO of Prognoz company, the solution is ideal for operational assessment of stability of the banking sector and the analysis of influence of the main bank risks. "Today the banking sector, more than ever before, needs flexible solutions for assessment of potential risks and prevention of economic crises, – he noted. - It promotes decrease in economic instability and, finally, mitigates effects of stressful situations".