Riskweise designs enterprise-wide stress testing frameworks for GCC financial institutions — spanning credit, market, liquidity and operational risk — calibrated to GCC macroeconomic variables and integrated end-to-end with ICAAP and recovery planning.
Frameworks are built around three severity levels (Minor, Moderate, Major), with scenario libraries covering oil price shocks, GDP contraction, real estate stress, IRRBB curves, FX shocks, top-depositor runs, correspondent bank failures, and reverse stress testing — all with full audit trail from scenario assumption to capital impact.
Baseline, adverse, and severely adverse macro paths calibrated to GCC economies. Oil price, GDP, unemployment, real estate, and interest rate scenarios — with regional sub-paths for UAE, KSA, Bahrain, Qatar, Kuwait, and Oman.
Counterparty concentration failure scenarios, Stage 2 and Stage 3 migration shocks, IFRS 9 macro scenario weight shifts. PD and LGD shocks calibrated separately for retail, corporate and SME segments.
IRRBB under parallel shifts, steepeners and flatteners. FX shocks for GCC currencies and major cross-rates. Equity portfolio price decline scenarios. Subsidiary valuation and FI portfolio interest-rate sensitivity.
Top depositor withdrawal scenarios, total deposit run scenarios, correspondent bank failure, and Wakalah funding cost shocks. Direct LCR and NSFR impact assessment with daily liquidity profile reconstruction.
Identification of conditions leading to capital breach events. Working backwards from defined failure points (CET1 below regulatory minimum, liquidity coverage breach) to determine plausible trigger scenarios and early warning indicators.
Board-approved escalation protocols, dashboard reporting, integration with ICAAP and recovery planning. Regulatory submission templates ready for supervisory review on delivery.
Scenarios are calibrated to GCC macro variables — oil price, GDP, unemployment, real estate, regional interest rates — with explicit linkage to bank-level P&L and capital impact. We use a three-severity-level structure (Minor / Moderate / Major) covering credit, market, liquidity and operational risk. Scenarios are documented end-to-end so the regulator can trace any output number back to its underlying assumption.
Reverse stress testing starts from a defined failure point — for example, CET1 falling below regulatory minimum — and works backwards to identify the combination of shocks that would cause it. This identifies vulnerabilities not visible in conventional forward stress testing and helps the Board calibrate early warning indicators. CBUAE, SAMA, CBB and QCB increasingly expect reverse stress testing as part of mature ICAAP submissions.
Stress testing, ICAAP, and recovery planning share scenario assumptions but use them differently. We build a single scenario library that flows into all three: stress test outputs feed ICAAP capital projections, and severe scenarios feed recovery plan trigger calibration. This is what makes the three documents internally consistent — which is what regulators check first when reviewing them.
Initial framework design and scenario library: 6-10 weeks. Full engine build with credit / market / liquidity / op risk modules: an additional 8-12 weeks. Integration with ICAAP and recovery plan governance: 4-6 weeks. Total for a comprehensive first-time enterprise framework: 18-28 weeks. The 13-Scenario Stress Testing Tool (see Tools page) accelerates this materially.
Yes. The framework explicitly handles Wakalah and Mudaraba funding structures, profit-sharing investment accounts, and the specific liquidity dynamics of Islamic deposits. Stress scenarios include funding cost shocks for Islamic interbank market disruption. The methodology accommodates Sharia governance requirements without compromising stress testing rigour.
Yes. The full stress testing engine is delivered as an open Excel artefact with no locked formulas. Scenarios can be added, severity levels recalibrated, and new risk types introduced by your team without further engagement. Methodology papers document every calculation so the model is fully understandable to anyone taking it over later.
We respond within one business day. No agency-style discovery process — straight to scope, fit, and what you actually need.
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