Bank Stress Test Model
Scenario engine for ICAAP, CCAR and DFAST. P&L impact, capital projection, board-ready output. Re-point to a new supervisory scenario in hours, not weeks.
Who it's for
Bank capital planning teams, risk and finance functions running ICAAP, CCAR, DFAST or supervisory parallel runs. Practitioners at Category III/IV US BHCs and UK/EU banks doing PRA SREP submissions.
What's in the model
COVER
Model documentation, scenario active, run timestamp.
SCENARIOS
Base, adverse, severely adverse macro paths (GDP, unemployment, rates, equity, credit spreads, real estate, FX). Drop in Fed CCAR scenarios or PRA ACS scenarios via paste.
PPNR
Pre-provision net revenue under each scenario. NII rate sensitivity, non-interest income, non-interest expense.
CREDIT_LOSSES
Loss forecast by portfolio segment with PD/LGD/EAD methodology and macro overlays.
RWA_PROJECTION
RWA paths under stress with credit migration and downgrade modelling.
CAPITAL_RATIOS
CET1, Tier 1, leverage and SLR projected through the stress horizon. MDA buffer monitoring.
OUTPUTS
Executive summary, capital ratio path charts, one-page board view, ICAAP/CCAR-ready tables.
CHECKS
Integrity checks: BS balances, capital reconciliation, RWA ties, scenario hand-off correct.
What makes this different
Scenario re-pointing in hours
Macro variables on one tab. All downstream calculations key off named ranges. Drop in the new Fed or PRA scenario, recalc, done.
Multi-jurisdiction
Same engine handles US (CCAR/DFAST), UK (PRA SREP / ICAAP) and EU (EBA stress test) supervisory frameworks. Buffer logic is jurisdiction-aware.
Real PPNR overlay structure
NII rate sensitivity, non-interest income trajectory, non-interest expense — with explicit overlay capacity for management actions.
Credit loss methodology
PD/LGD/EAD by segment with macro overlays. The same structure used by enterprise stress testing platforms, just in Excel.
Capital action logic
Distributions auto-restricted when capital ratios fall below the MDA threshold.
Specifications
Excel (.xlsx) · ~14 tabs · ~4,000 formula cells · file size ~3 MB · same-day delivery · includes 1 hour of email support
14-day money-back guarantee · same-day delivery · secure checkout via Lemon Squeezy
Frequently asked questions
Does it cover CECL or IFRS 9?
ECL methodology lives in our separate IFRS 9 / CECL model. The stress test takes ECL output as an input.
Will it work for Category I/II US BHCs?
It's calibrated for Category III/IV. For Category I/II requiring tailored portfolio segmentation or non-standard PPNR builds, contact us for a custom build.
Does it support both CCAR and DFAST?
Yes — both use the same supervisory scenarios. The model serves both.
Refund policy?
14-day money-back guarantee.
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About SFS Models
SFS Models builds institutional-grade Excel financial models for banking and finance professionals. Our models are used by FP&A, Treasury, ALM and Capital teams at US and UK regional banks, by PE firms, and by corporate finance consultancies. Open formulas, no VBA, fully auditable. Built by practitioners.