Ambit Loss Forecasting & Stress-Testing
Banks need forward-looking estimates of how their risk profile is changing as market conditions change, as well as confidence that they are ready in case of sudden adverse conditions. In order to give investors, rating agencies, regulators and stakeholders the utmost confidence that the bank is prepared for changes in customer conditions, macroeconomic factors or the value of their collateral, the bank needs models that can help them forecast possible losses and logically test their portfolio performance given specified stress scenarios. It is not enough to maintain just through-the-cycle estimates of risk. Early warning indicators and the ability to predict the timing of actual losses are crucial to the optimal management of a bank’s portfolio.
SunGard can help. SunGard’s Ambit Risk Consulting can help create point-in-time estimates of Exposure at Default, Probability of Default and Loss Given Default for bank customers and facilities as they vary with such dynamic factors as unemployment rates, interest rates, and housing prices.
Features
- Use benchmark data to help banks create point-in-time estimates
- Generate stress scenarios in a rigorous and transparent manner
- Assuage any possible regulatory concerns.
- Quantify the probability that unlikely scenarios will occur and generate a matrix that assesses the likelihood of stress scenarios as well as their magnitude.
Benefits
- More accurately generate forecasts of losses, and pinpoint sectors of the portfolio that are at greatest risk depending on current conditions
- Provision accurately for possible losses and take preventive action in at-risk sectors