Economic Scenarios for ECB/EBA/PRA

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 also produce scenarios for more than 100 countries/jurisdictions as standard.

  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, various interest rate and yield curves, detailed housing, labor 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.

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 labor market performance metrics and more.
  • Available for more than 100 countries/jurisdictions.
  • 30-year forecast horizon.
  • Monthly updates.
  • Documented methodology
  • Scenario narratives.