Run multiple what-if scenarios to proactively revise your strategy, mitigate potential risk and optimize bad debt provisioning in order to make better informed, forward-looking decisions.
Current approaches rely on historical data and an assumption that our future looks like the past.
Increasing regulatory requirements mean banks require a new set of tools to better assess and classify a range of exposures.
Traditional measures of counterparty credit risk and liquidity risk fail to account for the fact that banks are incredibly complex.
Recreate complex dynamics by using a bottom-up approach to model markets and customer behaviours.
Transition from regulatory to strategic stress testing and better explore how macroscopic outcomes and emergent behavior are generated from low-level interactions.
Use simulation to link agents together through causal relationships to capture network risks and better understand contagion risk.
Run large numbers of scenarios, model systematic risk, and run reverse stress tests to inform lending criteria – all in a massively scalable framework.
Group Chief Risk Officer at Barclays Bank.