Stress Testing Solution

The Stress Testing application compiles probable migration matrices based on the customer's financial position or a simulated portfolio based on user-defined customer characteristics.

The application has a user-defined, objective probability of default rating function. The rating attributes - solvency, liquidity, capacity, and credit score are weighted. Each loan is objectively rated prior to an identified shock, and after the application of the shock. The application calculates the weighted average risk of the sub-portfolios prior to the shock, and after the shock.

The migration of risk is summarized by industries. Portfolio shocks include: change in gross business revenue, change in business expense, change in non-business income, change in interest expense, change in long-term asset values, and change in credit score.

Individual customers and loans can be viewed and reported. A "watch list" can be created and distributed to the assigned credit professional.