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Prometeia leads banks to rise to the EBA/SREP stress test challenge

Prometeia, the global leader in Risk Management consulting and software solutions, announced today the enhancement of its ERM solution, ERMAS, to include the features necessary for the implementation of the new credit risk stress testing methodology as required by EBA and SREP for 2016 (as referenced in the draft methodological note of November 2015 and further update of February 2016).

ERMAS is a forerunner solution for compliance with the EBA methodological framework. “The new development allows Banks to implement the tight stress testing exercise requested by EBA in a user-friendly way, while ensuring a strict alignment with the methodology requirements”, comments Andrea Partesotti, Head of Enterprise Risk Management in Prometeia. “Our clients have found our solution to be an effective answer to this very demanding activity and the challenging deadline (by Q2 2016) set by EBA”.

The 2016 exercise is designed to provide supervisors, banks and other market participants with a common analytical framework to compare and assess the resilience of EU banks to economic shocks. For the credit risk stress, banks are required to estimate, under both a base and an adverse scenario, the default flows, impairments, provisions and RWA. The analysis is to be completed for the three year period from January 2016 until December 2018.

Among the newly released features:

  • New, compliant impairment calculation;
  • Management of base and adverse transition matrix;
  • Calculation of all information needed for the reporting template;
  • Implementation of IRB specific requirements including:

- exogenous expected loss;
- calculation parameters (PDpit, LGDpit…);
- defaulted assets RWA calculation.

Users of the ERMAS platform will greatly benefit from these new features, which allow them to complete the exercise smoothly and without the drawbacks and operational risks of Excel files and other top-down systems.

Details of the calculation are available at the minimum level of aggregation so that the consistency of the analysis and methodologies can be readily demonstrated to the regulators.

ERMAS, the new generation of value-centric Risk solutions, is used by over 200 clients in more than 20 different countries to support their critical decisions and to comply with local and international regulatory requirements.