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Object documentationStress Test Scenarios Locate this document in the navigation structure

 

Different scenarios can be used for stress tests. These can be categorized as follows:

  • Market data scenarios

    These are based on the use of modified classic or generic market data.

  • Class determination scenarios

    These are based on the use of primary object data that has been modified.

  • Modification of the input data used in banks’ own models

When market data scenarios and class determination scenarios are used, the calculation process uses modified input data, which is stored along with the original data in the Source Data Layer (SDL). For more information, see Scenario.

 

To be able to map scenarios that reflect crises in particular regions or sectors, the scenarios do not always have to include all transactions and business partners during a calculation run. Instead, they can be limited to particular groups or individual entities. The following application areas are available for scenarios:

  • Local

    Scenarios that are applied locally use data that is manipulated locally. This means that attributes are changed at single transaction or business partner level.

  • Global

    Scenarios that are used globally apply modified values to the entire portfolio.

  • Subportfolio

    Scenarios that are used for subportfolios apply modified values to a group of single transactions.

Integration

Bank Analyzer provides an infrastructure that enables you to combine stress test scenarios You define the combination of scenarios in scenario administration by assigning multiple single or composite scenarios to a composite scenario.

You define composite scenarios in Customizing for Bank Analyzer under   Infrastructure   General Scenario Administration   Edit Composite Scenarios  . You can still change these settings after your system has gone live. You do this on the SAP Easy Access screen under   Bank Analyzer   Infrastructure   General Scenario Administration  .

A composite scenario can contain only one scenario from each data category for scenarios, for example a market data scenario and a business partner scenario.