Stress Testing Models & Framework Platform





Problem Statement


Many Banks currently calculate the ‘charge-offs & reserves’ in spreadsheets or in sub-optimal tools. They need to migrate to robust, responsive and controlled solutions. Banks are required to enhance their modelling and run environments due to regulatory pressures and need for auditable and nimble architecture.

 Nitai Solution


Our cloud based solution offers:

·         Models for projecting ‘charge-offs’, ‘provisions’ & ’reserves’ for Wholesale & CRE portfolios based on scenarios

·         UI based framework to execute the models in controlled, auditable and repeatable environment


Our solution can be used for CCAR stress testing and/or DFAST.

The solution yields outputs 9 quarters of measures for multiple scenarios (baseline, adverse etc.).

The output is calculated at the loan level and aggregated as per client needs (For e.g. Y9C line item based aggregation) and reported on the cloud and downloadable in multiple formats.

Our solution takes the input parameters from client, validates the data and processes the outputs in seamless manner with an auditable and repeatable process.

A secured portal solution is provided for the client to load input reference data and execute the model to produce the results.

Multiple screens in the User interface perform the following functions:

·          Upload input parameters (PD%, LGD%, UGD%, country ratings etc.)

·         Upload transition matrices

·         Upload input data to process

·         Process the input data to generate the outputs


Outputs are stored in database and are downloadable in client specified format.

Each scenario run takes less than 120 minutes for a large portfolio and multiple scenarios can run simultaneously.


Technology Used

Our Cloud solution is Technology-agnostic, vendor-neutral and integrate with enterprise architecture. We can host it on any public cloud like AWS, Bluemix and also provide dedicated on-premise solution.

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