New Features in Stress Testing Q3 2025

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NEW FEATURES in Stress Testing

Check out these new features and what they mean for you.

Credit Risk Economic Capital Analysis

The solution for economic capital analysis includes several key components: a sample data table called Stochastic Specifications for use in data preparation, scenario sets with severe stress scenarios for specific base dates, and a dedicated Economic Capital Analysis task. This task is divided into two parts: running the simulation model and reviewing the results through management reports focused on expected credit loss and value-at-risk (VaR). Additionally, it provides a sample model that performs simulation-based calculations using probability of default and loss given default curves, along with a supporting script to run the analysis. All elements are documented in the SAS Credit Risk Stress Testing: User’s Guide. Learn more.

SPOTLIGHT USE CASE

A bank wants to assess the resilience of its credit portfolio under adverse economic conditions. Using the SAS Credit Risk Stress Testing solution, the risk team begins by preparing data with the Stochastic Specifications table. They then apply severe stress scenarios to simulate economic shocks.

Next, they run the Economic Capital Analysis task, leveraging the sample model ST Curves Economic Capital, which uses probability of default and loss given default curves to simulate expected credit losses and calculate value-at-risk (VaR). The team reviews the results through the Management Report - EC and VaR, identifying capital shortfalls and informing strategic risk mitigation decisions.

This workflow allows the bank to quantify economic capital requirements under stress and supports compliance with regulatory expectations.