A.4 Stress Testing and Scenario Analysis

  1. What is a scenario in STSA?

    A scenario represents a set of assumptions about financial conditions used for stress testing.

  2. How do I create a new stress test scenario?

    Navigate to Scenarios, click Create Scenario, and define shock values and other parameters.

  3. Can I clone an existing scenario for modifications?

    Yes, STSA allows users to duplicate and modify existing scenarios.

  4. What types of variables can be used in scenario analysis?

    Variables include exchange rates, macroeconomic indicators, credit ratings, interest rates, and liquidity factors.

  5. How do I input shock values into a scenario?

    Shock values can be added manually through the UI or uploaded through a Microsoft Excel file.

  6. What is the purpose of portfolios in stress testing?

    Portfolios help group financial assets and assess their exposure to risk.

  7. How do I create a portfolio in STSA?

    Navigate to Portfolios, click Create Portfolio, and define relevant parameters.

  8. What are the different ways to define and manage risk metrics?

    Risk metrics can be created using predefined templates or manually customized.

  9. Can I compare different stress test results in STSA?

    Yes, STSA allows users to compare multiple scenarios and analyze their impact.

  10. How do I configure analysis settings for a test?

    Use the Analysis Configuration section to define key parameters.

  11. What if there are multiple scenarios?
    • STSA allows running multiple scenarios within the same workspace.
    • Each scenario can have different shock values, economic assumptions, and variables.
    • You can compare scenario results side-by-side in reports.
  12. What if there are multiple scenarios, and each scenario has multiple executions with different dates in the future?
    • STSA allows you to define multiple execution runs for each scenario.
    • Each execution can have a specific future date for analysis.
    • You can schedule runs to simulate different economic conditions over time.
  13. How do you manage multiple executions for the same date?
    • STSA supports versioning of executions, allowing different runs to be saved and compared.
    • You can tag executions with unique identifiers to differentiate them.
    • The Execution History tab allows users to review and analyze multiple runs for the same date.