Bank implements integrated stress testing, forecasting model

Genesis was commissioned to build a fully integrated stress testing and forecasting model for a major bank in Malawi.

The model uses both the income statement and balance sheet for forecasts out to five years. The model then applies macroeconomic stresses to all the components (even operating costs) in the balance sheet and income statement out to five years. The model then calculates useful performance metrics, risk metrics, capital adequacy, liquidity metrics, balance sheet optimisation and marginal risk contribution.

The model was successfully implemented by the bank’s risk governance structure and processes. The model assists the bank in its strategy planning, managing its risk appetite, capital adequacy, and meeting its regulatory requirements