Stress Testing
Baseline, adverse, severe, and climate shock default/LGD trajectories.
What This Means for You
See how your portfolio holds up under severe weather, recession, or climate shock. We run NGFS scenarios and custom stress tests so you know your worst-case losses before they happen.
How It Works
Define scenarios (baseline, adverse, severe, climate shock) with peril-driven PD/LGD uplifts.
Roll 6–18 month post-event PD surges for declared disasters (event studies).
Aggregate portfolio losses and compare to capital/provision buffers.
Key Capabilities
When You'll See Results
Event PD uplift window 6–18 months post-disaster.
Scenario horizons 1–3 yrs; quarterly reporting.
Technical Details
Formulas
Baseline PD = (10 - CLIMA Score) × 0.002 (minimum 1%)
Adverse PD = Baseline PD × 2.0 (recession scenario)
Severely Adverse PD = Baseline PD × 5.0 (depression + climate shock)
Climate Shock PD = Baseline PD × 3.2 (extreme weather events)
LGD Baseline = max(0.2, (10 - CLIMA Score) × 0.05)
LGD Adverse = LGD Baseline × 1.3
LGD Severe = LGD Baseline × 1.5
Portfolio Loss = Σ(Loan Amount × Scenario PD × Scenario LGD)
Capital Buffer Required = Portfolio Loss - Expected Loss
Stress Loss Reduction = Traditional Stress Loss - CLIMA Stress Loss
Example
$100M portfolio in high-risk ZIP (CLIMA Score 3.0)
Baseline PD = (10 - 3.0) × 0.002
1.4%
Baseline LGD = (10 - 3.0) × 0.05
35%
Baseline EL = $100M × 1.4% × 35%
$490k
Adverse PD = 1.4% × 2.0
2.8%
Adverse Loss = $100M × 2.8% × 45.5%
$1,274k
Severely Adverse PD = 1.4% × 5.0
7.0%
Severely Adverse Loss = $100M × 7.0% × 52.5%
$3,675k
Climate Shock PD = 1.4% × 3.2
4.48%
Climate Shock Loss = $100M × 4.48% × 47.25%
$2,117k
Traditional (no CLIMA): Baseline PD = 6.25%, Severely Adverse
31.25%
Traditional Severely Adverse Loss = $100M × 31.25% × 56.3%
$17,594k
CLIMA Protection = $17,594k - $3,675k
$13,919k (79% reduction)
Ready to Get Started?
Upload your portfolio or schedule a demo to see Stress Testing in action.