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T202 · Cat-17 · Counterparty Credit Risk · Stress Testing

Credit Stress Testing Workbench

Apply macro stress scenarios — GDP shock, interest rate move, sector downturn, FX shock — to counterparty credit metrics. Outputs a four-scenario comparison table (base, mild, moderate, severe), credit metric migration across rating notches, Markdown stress memo, and Policy Mandate JSON stress scenario record.

Scenario Analysis Rating Migration ICAAP · ECL Stress Zero PII · Client-side

Configuration

Base Case Metrics — from T197/T198/T201 or enter directly

Base Rating — internal/external

Sector — transmission factor

Base 1-Yr PD % — from T198

EAD $ — from T201

LGD % — from T198

Base RWA $ — from T201

Stress Scenarios — select active scenarios

Mild Recession

GDP −1%, rates +100bps, limited sector stress

GDP −1%+100bps

Moderate Recession

GDP −3%, rates +200bps, sector downturn

GDP −3%+200bps

Severe Recession

GDP −6%, rates ±300bps, severe sector shock

GDP −6%±300bps

Custom Scenario

Define your own shock parameters

Configure below

Custom Scenario Parameters

GDP Shock % decline

Rate Move bps change

Sector Shock % EBITDA decline

FX Shock % depreciation

Scenario Name

About This Tool

Stress Transmission Model

Each macro shock is translated to a credit score deterioration via sector-calibrated multipliers. Score degradation drives rating migration, which in turn updates PD, ECL, and RWA.

GDP Shock→EBITDA decline → leverage rise → score −3 pts per 1% GDP

Rate Move→Interest cover decline → score −0.5 pts per 100bps

Sector Shock→Direct sector multiplier on EBITDA → score penalty

FX Shock→Revenue/cost mismatch → score −1 pt per 10% depreciation

Sector Sensitivity

Sectors with high operating leverage (retail, energy, real estate) are more sensitive to GDP shocks. Utilities and healthcare are more defensive. Sector multipliers scale the raw macro shock impact on credit score.

Limitations

This is a single-counterparty stress model — it does not model portfolio-level correlations, contagion, or feedback loops. PD and score migration is deterministic. For portfolio CVaR and correlation modelling, use T206 (Credit Portfolio VaR, Phase 2).

ICAAP / DFAST Context

Results are designed to feed ICAAP stress testing documentation and DFAST/EBA AQR submissions. Output the Policy Mandate JSON to attach structured stress results to credit files.

Last Reviewed · 2025-01-15

Stress Test Results

Scenario Comparison — Credit Metric Migration

Rating Migration by Scenario

Stress Commentary