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EBA Adverse Macro-Financial Scenario

With a 35-year track record in forecasting and scenario analysis, Oxford Economics has invaluable experience in preparing stress tests and in supporting institutions in the financial sector. Oxford Economics is pleased to have contributed support to the EBA’s 2020 stress test via the use of our Global Economic Model for the calibration of the scenario paths for non-EU economies.

A robust and timely solution to the EBA Stress Test

Depending on clients' needs, we can build out the macro-financial scenario within the largest commercially-available macro model or provide EBA prescriptions at quarterly frequency augmented with historic data from our extensive data coverage.

Financial institutions with established relationships with Oxford Economics benefit from our transparent and rigorous modelling and they can rely on us for support with model validation, both with our own validation reports and ad-hoc support.

Fast delivery at every step

Day 0: EBA publication

Day 1: Mandates built out

Prescriptions at quarterly frequency in Excel the day after the publication of the EBA stress test using our extensive data coverage

Day 5: Detailed scenario output

Bespoke scenario output in Excel within five working days, built out within the largest commercially available macro model

Day 12: Bespoke report

A detailed report covering the assumptions of the stress test and the construction of the scenarios within twelve working days

How we can support financial institutions

Bespoke scenario output within five working days

Two fully built-out global scenarios using the prescriptions provided by the EBA as constraints within the Global Economic Model.

Comprehensive Variable Coverage

Clients can choose the number of countries and variables based on their requirements from up to 80 countries, covering a total of more than 50,000 variables.

Detailed report

A detailed report covering the assumptions of the stress test and the construction of the scenarios can be provided.

Iterations of the scenarios

Clients can opt for bespoke iterations of the scenarios, allowing them to provide feedback and suggest overlays to the initial set of scenario output.

WHY YOU CAN RELY ON US

At the centre of our approach is our renowned Global Economic Model, which integrates individual country models through global assumptions about trade volume and prices, competitiveness, interest and exchange rates, capital flows and commodity prices.

The model's unique open-architecture framework enables us to assess the impacts of adverse scenarios on economic indicators and a range of asset classes.

Our flexible software allows variables to be added to meet our clients' needs when assessing the impact of multiple economic scenarios on portfolios.

The Global Economic Model is being used by banks for stress tests published by a large number of authorities around the world, including the Federal Reserve, the European Banking Authority, the UK Prudential Regulation Authority, the Australian Prudential Regulation Authority, the Hong Kong Monetary Authority and the Monetary Authority of Singapore.

Oxford Economics interacts closely with the Model Validation Groups at financial institutions. We produce our own validation reports and provide ad-hoc support.

Download EBA scenario outputs

Please fill out the form to receive sample EBA scenario outputs for: Austria, Denmark, Finland, France, Germany, Italy, Netherlands, Norway, Spain, Sweden and United Kingdom.

Contact us for more information

United KingdomNeil Walker

NEIL WALKER

Head of Macro Modelling,
London, United Kingdom
+44 (0) 203 910 8128
Email

Courtney Egan

COURTNEY EGAN

Senior Vice President, Business Development,
London, United Kingdom
+44 (0)203 910 8090
Email

NordicsDavid Anneteg

DAVID ANNETEG

Business Development Manager,
Nordics
+44 (0) 203 910 8088
Email

Rest of EuropeCorinna Hoyer

CORINNA HOYER

Managing Director,
Europe
+49 (0)69 96 758 658
Email

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