Advanced scenario generation capabilities are mandatory to project the possible outcomes of the COVID-19 pandemic.
At Prometeia we are committed to release a new baseline deterministic scenario that considers the inevitable economic slowdown deriving from the extraordinary restrictive measures taken all over the world to contain the virus outbreak, in order to determine the evolution of the macroeconomic context and, consequently, of risk factors and their impact on risk parameters and credit satellite models. On top of that, we run stochastic simulations to analyze possible alternative scenarios.
Prometeia’s ERMAS LAB – a new generation of Integrated stress-testing solutions – is at the heart of the process. ERMAS LAB is the component of ERMAS Suite used to run multi-scenario, comprehensive simulations of balance sheet, P&L and risk variables:
ERMAS LAB allows to define complex simulation structures by linking variables of different models, including models developed independently from each other or acquired from third parties.
Prometeia develops ERMAS, a fully integrated platform supporting Balance Sheet Risk Management, Regulatory & IFRS Compliance, Performance Management & Control, Credit Risk Analysis and Credit Decision Management.