The Challenge

As part of the Dodd-Frank Act, the OCC now requires national banks and federal savings associations with total consolidated assets of more than $10 billion to conduct annual stress tests across their entire portfolio to be used for bank supervision and to assess the company’s risk profile and capital adequacy. Corios has been engaged by multiple banking clients to design and implement frameworks for estimating and forecasting economic capital to sufficiently meet these new requirements while simultaneously satisfying internal stakeholders.

The Solution

Across more than 15 distinct engagements, Corios has designed and implemented portfolio stress testing solutions that estimate and forecast loss reserves to meet regulatory and internal requirements. Metrics forecasted included account volumes acquired and retained, outstanding balances by current and delinquent status, and gross and net charge-off volumes. Our monthly econometric delinquency and loss forecasts provided for flow rates across delinquent bins, projection of new and immature vintage curves, sensitivity to projected macroeconomic stresses, and management reporting.

The Results

Corios’ stress testing and reporting solutions have helped our clients avoid the regulatory risk associated with insufficient frameworks for estimating and forecasting economic capital, as well as the reputational risk associated with failing to comply with federal regulatory mandates. The efficiencies introduced by our customized loss forecasting solutions allow our clients to satisfy internal and federal requirements without distracting or disrupting primary business initiatives.

Contact us to learn more about Corios’ portfolio stress test solutions.