EY Climate Stress Testing / Scenario Analysis solution

•EY Climate Stress Testing helps banks evaluate the transition risk of their loan portfolio by:

•Leveraging a spectrum of Network for Greening the Financial System (NGFS) scenarios, sector-specific, and obligor-specific data

•Performing sector-specific modeling of transition risk and estimating the financial impact across the balance sheet, income and cash flow statement of counterparties

•Measuring the impact on key risk metrics such as Probability of Default (PD), Rating Migrations (RM), and Capital Adequacy Ratio (CAR)

•Evaluating the impact of transition risk on the portfolio and providing valuable insights to the Banks to inform their overall decarbonization strategy, mitigation actions and balance sheet concentrations

Solution benefits