AbsolutePD® Stress Test Simulator

AbsolutePD® Stress Test Simulator provides users with an effective, streamlined approach to complying with Federal Reserve Bank Comprehensive Capital Analysis and Reserve Requirements, resulting in lower operating costs and reduced managerial hours spent to fulfill compliance requirements.


  • Spend less time complying with regulatory requirements.
  • Lowers operating costs.
  • Bolsters banks’ reputation among external parties by incorporating this transparent, granular credit risk management system.
  • Enables strategies for managing your capital over a nine-quarter planning horizon.

About AbsolutePD® Stress Test Simulator

AbsolutePD Stress Test Simulator generates scenario-based probability of default predictions at the individual obligor level, based on the set of Federal Reserve System (FRS) macroeconomic variables, and on the result of AbsolutePD®(APD). 

Functioning as an add-on module to the APD modeling infrastructure, the APD Stress Test Simulator module generates up to five scenarios based on different sets of macroeconomic variables, which include three sets of FRS scenarios - baseline, adverse and severely adverse - together with two sets of user defined scenarios.

  • Provides the building block to accurately derive expected loss.
  • Offers a challenger approach to internal stress test model.
  • Applies supervisory stress scenarios and user-defined scenarios.
  • Incorporates 16 measures of economic activity, asset prices, financial conditions and interest rates.


Watch our AbsolutePD webinar.

To purchase AbsolutePD® Stress Test Simulator to learn more how it can improve your regulatory compliance and asset allocation, contact us today.