Stress testing is an integral part of the ICAAP and being able to demonstrate that your capital resources are sufficient to cover your risks. The demands are ever increasing as stress testing takes an ever more central role in capital adequacy. From being able to produce an appropriate economic scenario being able to demonstrate that a model is fit for purpose, the supervisory focus on stress testing has increased dramatically.
Jaywing can support you with:
- Identification and construction of appropriate scenarios
- Modelling of stress scenarios and the impact on losses
- Identification of appropriate management actions and design of recovery plans
- Support with model risk requirements for stress testing models
- Pillar 2B assessment