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Scenario Analyzer™

Comply with Regulatory Capital and Liquidity Stress Testing Guidelines

Scenario Analyzer helps banks measure the impact of changing market conditions at the enterprise level – across the entire balance sheet – or on single portfolios, such as commercial and industrial (C&I) and commercial real estate (CRE). These stress testing capabilities help banks comply with regulatory guidelines, including those outlined in Basel III, Solvency II and Dodd-Frank, for regulatory capital and liquidity. Beyond regulatory compliance, Scenario Analyzer allows firms to turn stress testing into a strategic planning tool, capable of consolidating risk data to better understand the impact of strategic decisions under different macroeconomic scenarios.

OVERVIEW
THE DIFFERENCE
KEY FEATURES

Scenario Analyzer Provides Stress Testing and Scenario Analysis Capabilities for:

Regulatory Compliance (including Basel I, II and III)
Perform comprehensive stress testing for Basel III, including the main regulatory capital drivers such as ratings, default probabilities (PDs), loss given defaults (LGDs), facility usage, CRE and securities market value. Scenario Analyzer can also stress test liquidity and Basel III regulatory risk ratios, including leverage capital ratio (LCR) and net stable funding ratio (NFSR). Natively integrated with RiskAuthority.
Credit Assessment and Scoring
Run what-if scenarios to understand how different segments of your loan portfolio will perform under different market conditions over time. For example, you can assess the impact that a 2% increase in unemployment and a 1% drop in GDP will have on your portfolio of borrowers in a specific industry. Natively integrated with: RiskAnalyst, RiskOrigins and RiskCalc Plus.
Assets & Liability Management (ALM)
Undertand the impact of your borrowers and market risk drivers, such as interest rates, exchange rates and volatility, as well as how each of these will impact balance sheet and income statement forecasts.
Commercial Real Estate
Compute stressed PDs and LGDs for CRE loan portfolios. Users can run microeconomic scenarios and understand their impact on CRE portfolios. Natively integrated with: RiskAnalyst, RiskOrigins, and CMM® (Commercial Mortgage Metrics).
Strategic Planning
Understand the outcome of different business strategies under different economic scenarios and make better business decisions. You can stress strategies against different scenarios, including changes in GDP, unemployment and other macroeconomic data to identify the profitability impact on your portfolio and the main risk drivers. From this analysis, you will then be able to determine the appropriate corrective or opportunistic actions.

The Difference: An Integrated, Open, Out-of-the-Box Solution, Backed by Industry Thought Leaders

Integrated - Scenario Analyzer is a central component in Moody’s Analytics ERM strategy. The software is native to our enterprise risk suite, including regulatory compliance, credit assessment and scoring, ALM, CRE and strategic planning.
Open - Scenario Analyzer is designed with an open architecture so you can add third party models and software, use it with other bank systems and evolve your platform over time. The software is scalable and will grow as your bank grows.
Out-of-the-Box - As an integral part of the Moody’s Analytics ERM platform, which includes a best-in-class datamart capable of aggregating financial and non-financial data, banks will have all the necessary data in one place to start stress testing their portfolios quickly.
Improved Efficiency - Scenario Analyzer allows you to use a single scenario across multiple areas of focus. Using the same architecture, data, analytics and scenario, you can easily understand the impact a scenario has on regulatory capital, ALM, key portfolios and single exposures. Stress tests will no longer require weeks and massive teams of people managing multiple spreadsheets just to run and replicate scenarios.
Expertise - Use macroeconomic scenarios developed by teams of Ph.D. economists in Moody’s Analytics Economic & Consumer Credit Analytics group, led by Chief Economist Mark Zandi. Our advisory services team also provides advice on which macroeconomic, quantitative or qualitative variables and methodology are most statistically correct at your institution. The team can also design and implement custom stress tests to help you manage risk and growth scenarios.