Can this skill calculate RWA inflation during a stress event?

Yes, it models RWA inflation for credit risk (NPL growth and downgrades), market risk (ES/VaR expansion), and operational risk based on historical severe scenario benchmarks.

What regulatory frameworks does this skill support?

The skill is designed around the BCBS Pillar 2 and SREP frameworks, supporting jurisdiction-specific implementations such as UK ACS (BoE), EU EBA Stress Tests, and US CCAR/DFAST (Fed).

What is the difference between this and the IFRS 9 skill?

This skill focuses on capital depletion and regulatory stress testing (Pillar 2). For IFRS 9 macroeconomic scenario weighting and expected credit loss modeling, you should use the ifrs9-scenarios skill.

Does it account for management actions like dividend cuts?

Absolutely. It includes a credibility assessment framework for management actions, differentiating between actions that are realistic in a severe crisis versus those that are not.

Banking Stress Testing

Name: Banking Stress Testing
Author: panaversity

bypanaversity

•

Analíticas y Monitorización

Automates regulatory stress testing and capital adequacy assessments (ICAAP) for banking institutions following global Basel Pillar 2 standards.

This skill empowers Claude to perform complex financial stress tests and Internal Capital Adequacy Assessment Processes (ICAAP) by modeling capital depletion across various macroeconomic scenarios. It provides domain-specific logic for calculating RWA inflation, stressed Net Interest Income (NII), and CET1 ratio trajectories while adhering to international regulatory frameworks like CCAR, DFAST, and EBA standards. Ideal for risk managers and finance professionals, it streamlines the creation of capital planning documentation, management action credibility assessments, and reverse stress test plausibility analyses.

Características Principales

01Automated ICAAP/ILAAP capital quantification and reporting structures

02Detailed reverse stress testing to identify acute institutional vulnerabilities

03Dynamic RWA inflation calculations across credit, market, and operational risk

0411 GitHub stars

05Multi-scenario modeling including Adverse, Severe, and Bank-specific scenarios

06Management action credibility assessments for regulatory compliance

Casos de Uso

01Calculating capital depletion paths and CET1 ratio troughs under severe economic downturns

02Preparing annual ICAAP/ILAAP submissions for regulatory bodies like the PRA, ECB, or Fed

03Evaluating the impact of idiosyncratic risks such as CRE concentration or counterparty defaults

Características Principales

01Automated ICAAP/ILAAP capital quantification and reporting structures

02Detailed reverse stress testing to identify acute institutional vulnerabilities

03Dynamic RWA inflation calculations across credit, market, and operational risk

0411 GitHub stars

05Multi-scenario modeling including Adverse, Severe, and Bank-specific scenarios

06Management action credibility assessments for regulatory compliance

Casos de Uso

01Calculating capital depletion paths and CET1 ratio troughs under severe economic downturns

02Preparing annual ICAAP/ILAAP submissions for regulatory bodies like the PRA, ECB, or Fed

03Evaluating the impact of idiosyncratic risks such as CRE concentration or counterparty defaults