6.5.1 Creating Scenario

To create a scenario:
Ensure that you have defined a variable.
  1. Login to STSA.
    The Workspace Summary page is displayed.
  2. In the Workspace Summary, Sandbox tab, launch the required workspace.
  3. Click Scenario.
    The Scenario Management summary page is displayed.
  4. Click Create New.
    The Scenario Details wizard is displayed.
  5. Provide a name and description for the scenario you are creating.
  6. In source details section:
    1. To classify the source of the scenario based on its origin (by market requirements or internally in the bank), select the source as external or internal from the Source drop-down menu.
    2. Provide the source links or the details of the source in Source Details.

      Note:

      You can source a scenario from a wide variety of market sources or generate it internally (by the bank).
    3. Select a theme (the subjects that are covered by the scenario) for the scenario you are creating from the Theme drop-down menu.
      The following list of themes are available for a scenario:
      • Climate
      • Industry Specific
      • Macro Economic
      • Market
  7. In the Time Horizon Details section:
    1. Select the frequency for how frequently you want to run this scenario.
      You can select from one of the following frequencies:
      • Daily
      • Instantaneous
      • Monthly
      • Quarterly
      • Weekly
      • Yearly
    2. Provide the number of times you want to calculate the scenario in the Time Frame field.
    3. Select a base reference date (or the date from which the data is available) from the Reference Date field.
    4. Select a first date to start the calculations or predictions on in the Start Date field.

      Note:

      Ensure that the start date is greater than the reference date.
    5. Select the required configurations for this scenario using the Configuration Analysis field or create a new configuration analysis.
      If you select an existing Configuration Analysis, all the values from the selected configuration are preselected and displayed. However, you can add more objects or remove objects in each screen.

      If you choose to create a new configuration, then click Continue.

    6. Select the required project for this scenario using the Project field or create a new project.

      If you select an existing project, then review the details of the project in the preview pane and then click Continue.

      Also, the reference and start date is auto-populated or over-written from the selected project.

      Note:

      Ensure that you select the analysis configuration and project with same set of variables and reference and start dates.

      If you choose to not select any project, then click Continue.

  8. In the Variables section, all the variables that are created and approved in this workspace are listed.
    If you have selected an analysis configuration or project, then the variables are preselected. Review the selection and click Continue.

    You can also modify the selections (add or remove variables) and then click Continue.

    Note:

    Selecting a variable for a scenario is a mandatory step.
  9. In the Map Dimensions section, if dimensions are not applicable for the selected variables, then the Map Status is listed as NOT APPLICABLE. Click Continue.
    If dimensions are applicable for the selected variables, then the Map Status is listed as NOT MAPPED. Map the dimensions and then click Continue.

    To map the dimensions:

    1. Click More Actions and select Map Dimensions.
      The Variable Dimension Mapping page is displayed.
    2. (Optional) To create a new mapping, select Create New One option in the Basic Details section.
      If you want to replicate an existing dimension mapping, select Copy From Existing Dimension Map.
    3. Provide or update the name and description for the mapping.
      Based on the variable's metadata the dimensions are displayed.
    4. Click Next and modify the selections made for these dimensions from the hierarchy and click Next.
    5. To save this selection, click Save.
  10. In Variable Pathways section, add the variable values, and then click Continue.
    You can add variable values from any one of the two methods:

    Note:

    For Direct Ingestion type of variable, you cannot add any shock values as the data is already present in the tables.

    Note:

    For IRC type of variables, only absolute shock type is supported.

    Once the variables are selected for the scenario, the Status is displayed as Not-Started.

    Once you start filling up the values of the variables, the Status is updated to In-Progress.

    After all the combination of stress values for all the variables are added, the Status is updated to Completed.

  11. (Optional) Click the variable to view the graphical representation for the shock values provided in the previous step.
    The graph is displayed which indicate the variations caused due to each shock value introduced in the scenario. Each variable offers filters tailored to its type:
    1. Numerical Variables:
      • Micro-Macro and Exchange Variables:
        • Graph: Line graph
        • X-axis: Periods
        • Y-axis: Values
        • Display: Shows a single line with one row of data if no dimensions are added. With dimensions, multiple lines appear for each dimension combination.
        • Filters: Periods and dimensions
        • Default filters: First dimension combination
      • CCF, LGD, and PD Term Structure Variables:
        • Graph: Curve graph
        • X-axis: Term points
        • Y-axis: Values
        • Filters: Hierarchy data and periods
        • Default filters: First hierarchy and period
      • IRC Term Structure Variable:
        • Graph: Curve graph
        • X-axis: Term points
        • Y-axis: Values
        • Filters: Periods
        • Default filters: First period
      • Other Granular Variables:
        • Graph: Not available, as the computed grid is missing.
    2. Categorical Variables:
      • Ordinal Variables:
        • Graph: Curve graph
        • X-axis: Periods
        • Y-axis: Computed ratings
        • Filters: Source Code, Short/Long Term, rating + dimension combination, and periods
        • Default filters: First source code, first short/long term, and first rating

    For categorical variables, ratings are computed based on source code and short or long term combinations. As a result, you cannot view all ratings simultaneously. Instead, select a specific combination of source code and short or long term to display the relevant ratings.

    For Change of Class shock types, the graph is unavailable, and the source code and short or long term filters are not applicable during data input, so these options are also not displayed in the graph.

  12. In the Scenario Narrative section, provide details about the scenario you are creating.

    Note:

    All metadata values of a variable is populated based on the EST_VAR_DEF_LOGICAL_MAP table mapping.
  13. Review the inputs and click Save to save it as a draft or click Save and Submit to share it for review.
    For more information about sending objects for review and approval, see the Workflow for STSA Objects section.