Stress and Scenario Testing (SST)
Stress and Scenario Testing (SST) – our models have always forecast loan by loan losses, based upon real data, meeting a need for loan level output that is now recognised. Our unique 1989-1995 default database encompasses a range of scenarios, such as “benign”, “average”, “severe” and “worst case”. Thus, we are able to set a lender book, loan by loan, into each scenario and to use the past data to forecast the Probability of Possession and the Loss in the Event of Possession, based upon e.g. client-specified house price and mortgage interest rate scenarios. Our Acadametrics Prices and Transactions (APAT) data are employed with SST for inexpensive revaluation of the portfolio although AVM valuations can be equally employed.