Scenarios

Scenarios defines the stress assumptions applied to the portfolio - shocks such as a jump in PAR, mass restructuring, a sector downturn or a deterioration in PD/LGD. Each scenario codifies the shock parameters so they can be applied consistently and repeatably in stress runs.

Workflow

Create a scenario and name the shock it represents.
Set the shock parameters (PAR uplift, PD/LGD increase, default migration).
Define the macro overlay or sector affected if applicable.
Save the scenario for use in stress runs.
Maintain a library of baseline, moderate and severe scenarios.

Fields reference

Every field on this screen, drawn from the live data model.

Field	Type	Required	Description
PD Multiplier `pd_multiplier`	Decimal	—	Multiplier applied to probability of default
LGD Multiplier `lgd_multiplier`	Decimal	—	Multiplier applied to loss given default
Deposit Run-off % `deposit_runoff_pct`	Decimal	—	Percent of savings withdrawn under stress
Scenario `name`	Text	Yes	Scenario
Code `code`	Text	Yes	Code
Sequence `sequence`	Number	—	Sequence
Active `active`	Yes/No	—	Active
Description `description`	Long text	—	Description
Interest Rate Shock % `interest_rate_shock`	Decimal	—	Interest Rate Shock %
FX Shock % `fx_shock`	Decimal	—	FX Shock %

Notes & rules

Model: mfi.stress.scenario.
Parameters: PAR shock, PD/LGD uplift, migration, sector overlay.
Consumed by Stress Runs.
Supports ICAAP and supervisory stress expectations.

Technical model: mfi.stress.scenario · Record: MFI Stress Test Scenario