Stress Testing in the Liquidity Risk Management Area

SKS Advisory provides banks with support for the validation and enhancement of stress scenarios that are compliant with Basel III and MaRisk (BaFin's minimum requirements for risk management). Besides institution-specific expertise, the SKS Group has extensive experience in the measurement and implementation of market-based risk scenarios, such as:

  • A downgrade of a credit quality rating (by three notches)
  • The partial outflow of deposits in the retail banking business
  • Outflows in large corporate financings and a reduction in the sources of
  • secure funding
  • The loss of secure, short term financing transactions (exception: highly liquid assets)
  • An increase in market volatility
  • Exceptional drawdowns of credit and liquidity lines
  • Outflows from the use of off-balance-sheet transactions 
  • because of reputational risks