European Stress Test Scenarios



Meet regulatory requirements using meaningfully expanded scenarios from a trusted source.

Moody's Analytics produces meaningfully expanded common baseline and stress scenarios based on the ECB/European Banking Authority and the BoE/Prudential Regulation Authority. We also produce bespoke scenarios individual firms need to develop. Scenarios are supported by a high degree of transparency and detailed documentation. Beyond regulatory-specific scenarios, we produce scenarios for more than 50 countries as standard. Scenarios are based on our deep understanding of the risks and opportunities in the global economy. Our global view, depth and consistency, is highly valued by clients and regulators.

We Can Help Along Three Key Dimensions

  1. Expanded Common & Stress Scenarios

    Fully expanded, common baseline and stress scenarios for the UK and all other major economies you may have exposure to, such as the United States, China, Denmark,  Finland, France, Germany, Greece, Sweden, Italy, etc. We run the projections provided by local authorities through our macro forecast services, covering more than 1,800 variables for modeling various asset classes, many of which are not available elsewhere. This filling-in of the narrative with global context,  allows us to produce economically-consistent scenarios. We meaningfully expand the variables for these scenarios to include indicators not specifically provided by the regulators, including sector-specific industrial production, various interest rate and yield curves, detailed housing, labour market metrics, and many client-specific indices.

  2. Bespoke Scenarios

    Our team of economists have extensive expertise in building bespoke scenarios, while providing the necessary transparency, documentation, and cooperation required by management, regulators and other stakeholders. Bespoke scenarios are designed to reflect your lines of businesses, geographic footprint, unique exposures/assumptions and overall business model. We can leverage your existing stress testing and risk identification processes, including reverse stress testing, to inform your institution-specific scenario design. Our experience and proven track record ensures timely delivery with detailed documentation and support needed for the high level of transparency required.

  3. Loss Forecasting and Stress Testing

    Our scenarios can be used across asset classes, including retail lending portfolios through our Moody's CreditCycle solution.

Key Features

  • Coverage of all major concepts relevant for stress testing, including: personal consumption expenditure, debt-service burden, bankruptcy rates, initial claims, sector specific industrial production, interest rate and bond yield curves, detailed housing and labour market performance metrics, demographic series, many client-specific indexes and more.
  • Available for more than 50 countries
  • 30-year forecast horizon.
  • Monthly updates, using the latest economic data and conditions.
  • Narratives for each scenario detailing forecast assumptions.

Transparent & Fully Documented Methodology

We furnish a detailed methodology and provide access to our analysts for validation purposes. 

Dedicated Team of Experts

We have a team of experts dedicated to helping clients with the stress-testing process. They leverage the best-in-class modeling and analytical expertise in national and regional data management and forecasting.

  • JUAN LICARI, PhD

    Dr. Licari and his team develops and implements risk solutions that explicitly connect credit data to the underlying economic cycle, allowing portfolio managers to plan for alternative scenarios. 

  • PETR ZEMCIK, PhD

    Dr. Zemcik is director of economic research at the Moody's Analytics London office. He is responsible for analysis, modeling, and forecasting for Europe.