Credit Stress Analyzer

Loan Portfolio Stress Testing

Community banks have an important obligation to manage the risk in their loan portfolios. One requirement is to satisfy regulatory expectations with respect to stress testing of loan portfolios and evaluating the resulting impact on both earnings and capital. PCBB's Credit Stress Analyzer (CSA) will help your institution incorporate regulatory best practices into your overall risk management program.

CSA is a robust, outsourced solution that quantifies the financial impact on earnings and capital that may arise under multiple stressed scenarios. This solution minimizes the financial impact on your institution by:

  • Quantifying the impact of potential losses on your capital and ratios
  • Evaluating the risk associated with loan concentrations (type, sector, purpose, geography)
  • Allowing you to focus on results and conclusions rather than on the task of accumulating and analyzing historic data

Reports

  • Executive overview report facilitates your review with board, management and regulators
  • Pro-forma impact on earnings and capital adequacy
  • Quickly identify emerging trends
  • Reasonableness & usability of data and input evaluated
  • Back-testing vs. projections included
  • Grade migration included (single and/or dual grade)
  • Metric migration included (DCR/DTI, LTV, etc.)

Documentation

  • Detailed model narrative provided
  • Third-party validation completed
  • Key assumptions fully documented and disclosed

Support

  • Industry experts are available to facilitate review of your bank's results
  • Ongoing support is provided, including pre-exam "prep"

Conceptual Approaches

  • Multiple configurations are supported (migration and/or Probability of Default (PD)/Loss Given Default (LGD) derived from:
    • Market experience
    • Industry experience
    • Bank experience
  • Multiple shock environments and shock types evaluated:
    • Sensitivity shocks
    • Scenario-based shocks
    • Comparisons to historical results and benchmarks

How Do I Get Started?