9.3.3.1 Defining a Stress Run on Contractual Run

For a Contractual Run, insertion of a set of BAU assumptions with another set of stress assumptions constitutes a scenario for stress testing within LRM. Stress business assumptions are similar to BAU assumptions, but with adverse or stressed values. On execution of the stress Run, the stress assumptions are applied to BAU cash flows to assess the impact of the stress scenario on the liquidity metrics.

Note:

The following procedure is applicable for Stress Testing of Intraday Monitoring Metrics.

For Intraday, when Run Purpose is selected as Intra-Day Metrics Calculation and the Run type is Contractual Run perform the following steps:

1. Create a Stress Run in Oracle Financial Services Advanced Analytical Applications Infrastructure window through Stress Definition window under Enterprise Modeling, after selecting baseline as Contractual Run.
2. Remove the first 4 processes from the base line run one by one:
   1. LRM - Intraday - Party and Product Type Reclassification.
   2. LRM - Intraday - Time Bucket Population
   3. LRM - Intraday - Instrument Data Population
   4. LRM - Intraday - Transaction And Aggregated Transaction Data Population
   5. LRM - Intraday - Available Intraday Liquidity Classification
3. Select the process as ‘LRM - Intraday - Bucketed Transactions Data Population’ and then click Insert Task.
4. In the Task browser, select the new process that is, ‘LRM – Intraday Stress Data Preparation’ and ‘LRM - Intraday - Propagating Effect Of Assumptions On Outflows And Inflows ’.
5. Set the precedence of the processes in the following order:
   1. LRM – Intraday Stress Data Preparation
   2. LRM - Intraday - Propagating Effect Of Assumptions On Outflows And Inflows
   3. LRM - Intraday - Bucketed Transactions Data Population
6. Click OK.

   The data preparation processes are stitched in the Stress Run.

7. Select the process ‘LRM – Intraday Stress Data Preparation’ and then click Insert task.
8. In the Task browser, select the defined assumption processes.

   All the versions of the defined assumptions are displayed (Assumption name and version number. You can select the latest one).

   The selected assumptions appear after the process ‘LRM – Intraday Stress Data Preparation’.

9. Click OK. The assumptions are stitched in Stress Run.
10. Click Save. The definition is saved.