Banking
Credit Portfolio Stress Test
Calculates stressed expected credit losses by exposure segment and macroeconomic scenario.
Credit riskECLBankingScenario analysis
TechnologyRR 4.4
Version1.8.0Current published
CriticalityHighQuarterly review
Runtime profile1 vCPU · 512 MB120 second timeout
Manifest-driven parameters
These definitions generate the configuration form and server-side validation.
| Parameter | Type | Default | Validation |
|---|---|---|---|
| Total exposure at defaulttotalExposure | decimal | 2500000000 CAD | Min 1000000 Max 1000000000000 |
| Base probability of defaultprobabilityDefault | decimal | 0.018 ratio | Min 0 Max 1 |
| Loss given defaultlossGivenDefault | decimal | 0.42 ratio | Min 0 Max 1 |
| Stress multiplierstressMultiplier | decimal | 1.75 multiple | Min 0.1 Max 10 |
| Forecast yearsyears | integer | 5 years | Min 1 Max 10 |
| Macroeconomic scenarioscenario | choice | Baseline | Baseline · Moderate recession · Severe recession · Rate shock |
Recent runs
Execution history for this model in your sandbox.