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Economics & Country RiskUS Economic Solutions

Alternative US and Global Scenarios

We cover it all: capital-plan, credit, market and liquidity risks

Our proven model-based macro scenarios assist financial institutions and corporate customers with all aspects of design, development and implementation of macro scenarios used to understand their total risk profile, conduct rigorous stress tests that meet regulatory requirements and accounting standards, provide transparency, and promote confidence in existing business practices.

We leverage our award-winning model of the US Economy and our Global Link Model to understand the impacts of alternative-scenarios across sectors and throughout global and regional economies. The scenarios equip our customers with the data, results and understanding needed to complete their internal capital stress and planning processes whether to satisfy regulatory requirements, accounting standards, or internal processes. Our solutions span global, US national and regional territories and provide the highest level of transparency and rigor.
Risks and alternative paths for the US economy
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CCAR, DFA, PRA and EBA testing

Our scenarios help financial institutions stress test their balance sheets against supervisory scenarios to comply with Comprehensive Capital Analysis and Review (CCAR), Dodd-Frank Act (DFA), Prudential Regulation Authority (PRA) and European Banking Authority (EBA) requirements. We work with our customers to understand their risk profile and vulnerabilities as inputs to design and expand idiosyncratic scenarios specifically designed to the BHC scenarios. Scenarios usually extend five years with longer time horizons available. 

Our services include:

  • Carefully crafted narratives for each of the scenarios, including comparative tables and charts
  • Fast turnaround after the time the regulatory body releases its assumptions
  • Frequently updated scenarios
  • Customer support
  • Transparent model documentation
  • Access to supporting driver data and models
  • Scenarios extension to 30 years is possible

CECL scenarios

Financial institutions required to evaluate credit losses according to the new accounting model issued by the Financial Accounting Standards Board (FASB) can use our suite of alternative scenario forecasts for the US national and regional geographies to develop impairment estimates required for Current Expected Credit Loss (CECL) compliance. We have taken care to consider where we are in the business cycle, volatility in the forecasts and other technical issues.

 

Our service includes:

  • National and regional forecasts a base forecast, two optimistic and three pessimistic scenarios, updated quarterly
  • Quarterly narratives that accompany the scenarios
  • Probability weighted scenarios that use results from our proprietary factor model
  • Access to our team of economists
  • Quarterly webinars discussing changes to the scenarios and forecasts

Our models, underlying narratives and assumptions differentiate the scenarios and can provide short-term (three years) to long-term (30 years) forecasts from our macro models. Horizon extensions are available. For model-using clients, we can provide solution files that allow you to refine the scenarios to suit your own narrative or create additional variations to assess a wider set of scenarios. Learn more.

IFRS9 scenarios

The new accounting rules, mandated by the International Financial Reporting Standard, require institutions to move from using a fair market valuation to using a forward looking or expected loss criteria. Our scenarios provide reasonable and supportable forecasts using our award-winning models. Our IFRS9 solution uses a proprietary small-scale macro model that provides users 700 to 1000 rank-ordered simulations and produces quarterly probability-weighted expansions needed to judge reserving requirements.

Our service includes:

  • Expansions a set of off-the-shelf or of client-chosen scenarios to provide global, US and regional forecasts
  • Quarterly scenario updates available either as a refresh update to original, or as a newly chosen scenario expansion
  • Available for the US and Global scenarios

We can provide solution files that allow you to refine or expand the scenarios to suit your own narrative or create additional variations to assess a wider set of scenarios.

Global stress testing

The Global Link Model is the most comprehensive global macroeconomic model commercially available. Designed for forecasting and scenario planning, it links 68 individual country models with each other and with key global drivers of performance. The model accounts for 95% of global GDP, covering more countries and time series – from 250 to 500 per country – than any other market offering. With quarterly updated baseline forecasts and 30-year outlooks, you have all the data you need for current decisions, as well as longer term planning. Our own economists and analysts use the model to produce their award-winning industry forecasts. The Global Link Model provides full access to the model, continued technical support, three detailed scenario assumptions per quarter, and an executive summary describing the output and context.

Scenario stress testing for front & middle office

Simplify the ever-growing complexity of regulatory stress tests with our Financial Risk Analytics division’s Scenario Stress Testing solution. Our flexible cloud-based scenario engine can expand regulatory prescribed shocks to the risk factors in your portfolio. Determine the P&L and capital impact on your trading book by feeding the shocks into our companion products: Traded Market Risk, Counterparty Credit Risk, and XVA.

Experts

Chris Varvares

Mr. Varvares has nearly 40 years of experience in macroeconomic modeling, forecasting and policy analysis, as co-head of US Economics at IHS Markit, in his previous role as a principal of Macroeconomic Advisers and as a member of the staff of the President's Council of Economic Advisers (1981-1982); he served as a member of the US delegation to the OECD in April 1982. Macroeconomic Advisers was acquired by IHS Markit in 2017. He and the IHS Markit US economic principals serve as consultants to key agencies of the US and foreign governments, major trade associations, and private corporations, and are widely quoted in the business and financial media. IHS Markit is widely recognized as among the most accurate forecasters of the US economy. Mr. Varvares is a recent past president and a former director of the National Association for Business Economics (NABE). He served as president of the NABE Gateway chapter in St.Louis and is a member of the American Economic Association. He serves as a member of the New York State Economic and Revenue Advisory Board and has participated in the meetings of the Outside Consultants to the CBO, has been a panelist for the World Economic Forum, and he sits on advisory boards for the Olin Business School at Washington University and the Walker School of Business and Technology at Webster University. Mr. Varvares holds a Bachelor of Arts in Economics from The George Washington University and received his graduate training (ABD) in Economics from Washington University in St. Louis, where he was also a member of the adjunct faculty in both the economics department and the Olin School of Business.

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Joel Prakken, Ph.D.

A thought-leader on US economic outlook, monetary policy forecasts and fixed income markets with over 30 years of experience and expertise as a macroeconomic modeler, Dr. Prakken has developed an unmatched structural-econometric model of the US economy. He co-founded Macroeconomic Advisers which was acquired by IHS Markit in 2017. Prior to founding Macroeconomic Advisers, Dr. Prakken held the position of senior economist at the World Headquarters of the IBM Corporation and before that he served with the Federal Reserve Bank of New York, US. He also has held positions on the faculties of New York University's Graduate School of Business, the Economics Department of Washington University, and the Olin School of Business at Washington University. He is the past president and a fellow of the National Association for Business Economics (NABE). He is also past president of the Gateway Association of Business Economists in Saint Louis. Dr. Prakken has many publications to his credit, including papers written for the Council of Economic Advisers, the American Council for Capital Formation, and the Center for the American Study of Business on topics ranging from tax reform to budget policy to monetary policy to the impact of technology on productivity. He has testified on these topics before committees in both the US House of Representatives and the Senate. Dr. Prakken has participated in meetings of the Outside Consultants to Board of Governors of the Federal Reserve System, is a past member of the Panel of Economic Consultants to the Congressional Budget Office and is a current member of the advisory committee of the Bureau of Economic Analysis. Dr. Prakken completed his undergraduate degree in economics at Princeton University, and holds an MA and Ph.D. in economics from Washington University in Saint Louis, United States.

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Kathleen Navin, CBE

She joined IHS Markit through the 2017 acquisition of Macroeconomic Advisers, where she joined June 2010. Her primary responsibilities pertain to the US Macro Insights (USMI) service and to special reports and projects that utilize the proprietary macroeconomic model, MA/US. Ms. Navin is the technical lead on the Macroprudential Scenarios Service, coordinating and contributing to the development of scenarios and supporting products. In 2015, she became a member of the National Association of Business Economics' inaugural class of Certified Business Economists. She was a research associate at the Federal Reserve Bank of Kansas City in the division of Macroeconomics and Monetary Policy. Ms. Navin graduated with a Bachelor of Science degree in Economics in 2007 from the University of Missouri, where she went on to earn a Master of Arts degree in Economics in 2008.

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David Iaia

Mr. Iaia oversees the state, metro, and county forecasts covering more than 300 metropolitan areas and 3,100 counties. He manages staffing and has an active role in development and enhancement of the group's data methodology. Additionally, he is the primary analyst for Virginia, Maryland, the District of Columbia, and Connecticut. He has done consulting work on the cost of doing business in states and for the U.S. Conference of Mayors on the importance of metro areas in the national economy. Prior to joining the company in 1998, Mr. Iaia was a graduate student in economics at Brown University, completing all the requirements but the dissertation. He also holds a Bachelor of Arts in Economics from Amherst College.

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Michael Konidaris

Mr. Konidaris leads the product development for the CECL implementation by financial institutions. His responsibilities include the construction of cross-asset class econometric models, the development of forecasts for Libor, Swap and Corporate Bond rates, and the construction of simulations of global economic scenarios to evaluate the P&L of clients' portfolios.Mr. Konidaris joined IHS Markit through the 2017 acquisition of Macroeconomic Advisers. He has worked as an economic consultant on the forecasting team at Roubini Global Economics and as a research intern at The Midway Group, a hedge fund specializing in the US residential mortgage market. He completed his military service as a sailor at the Hellenic Navy and co-founded and served at the board of directors of AUEB's Investment and Finance Club, the first ever finance club in a Greek University. Mr. Konidaris holds a Bachelor of Science degree in accounting and finance from Athens University of Economics and Business (AUEB), Greece, and a Master of Arts degree in economics from New York University (NYU), US.

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