Regulatory stress testing for IFRS 9 and CECL

Independently produced macroeconomic scenarios, built on more than 25 years of award-winning forecasting, to help lenders meet regulatory requirements with confidence.

Our Services

Economic Scenarios for IFRS 9

Probability-weighted lifetime forecast scenarios for IFRS 9 compliance.

Download IFRS 9 brochure

Economic scenarios for CECL

Reasonable and supportable forecast scenarios for Current Expected Credit Loss compliance.

Download CECL brochure

Why Capital Economics

Independent scenarios you can rely on

Our macroeconomic scenario service combines proprietary stress-testing models, clear narratives and the expert judgement of our award-winning economists. Our analysis and forecasts are independent, and we are a trusted provider of insights to the financial sector, with a strong track record of accuracy awards from organisations including LSEG, Consensus Economics and FocusEconomics. For clients who already rely on our macro research elsewhere in the business, our scenario service extends that same rigour directly into the credit risk process.

Regulatory confidence

Independently produced macroeconomic scenarios with audit-ready supporting documentation, methodology and narratives.

Stress testing compatibility

Our scenarios can be designed to complement your broader stress-testing framework, with severities tailored to your requirements and calibrated for consistency with your relevant regulatory stress-testing benchmarks.

Timely insights

Economic conditions can shift quickly. We update our scenarios regularly, and in real time during periods of volatility, so your models stay relevant and your decisions well informed.

Bespoke flexibility

Our service is fully customisable. Tailor the number of scenarios, indicators and geographic coverage to match your risk profile.

Probabilities you can defend

We provide forward-looking probabilities for baseline, upside and downside scenarios underpinned by more than 25 years of forecasting performance.

Value beyond regulatory compliance

These scenarios can also support internal business planning, from a corporate stress-testing its revenues to an asset manager assessing a trade shock to a pension fund asking where real rates settle over thirty years.

IFRS 9 & CECL

Economic scenarios for IFRS 9 and CECL

Under IFRS 9 and CECL, forward-looking macroeconomic scenarios sit at the centre of the credit loss model. Our service covers UK and international markets for IFRS 9, and US national data plus all 50 states and DC for CECL.

	IFRS 9	CECL
Geographic coverage	UK and international	US national and all 50 states + DC
Update frequency	Quarterly + real time	Quarterly + real time
Packages	Off-the-shelf (UK only) or bespoke	Bespoke

Our scenario framework

Up to six scenarios, calibrated to your book

Our default framework spans up to six scenarios across the distribution of plausible outcomes, each anchored to a specific percentile. The baseline is our modal forecast, the single most likely path, sitting close to the 50th percentile under neutral conditions.

Scenario	Name	Percentile
U2	Strong Upside	~92nd
U1	Mild Upside	~75th
BL	Baseline	~50th
D1	Moderate Downside	~25th
D2	Severe Downside	~10th
D3	Extreme Downside	~4th

Built to flex

You can specify the number of scenarios, name them to match your own internal conventions, and set the percentile or cumulative-probability threshold each one should represent. For example, a client might instead ask for a four-scenario set such as:

Illustrative client-defined set

Stronger Near-Term Rebound — 90% cumulative probability
Baseline Forecast — 50% cumulative probability
Moderate Downturn — 25% cumulative probability
More Severe Recession — 10% cumulative probability

Whatever the configuration, every scenario is still built on the same underlying model and probability methodology. Scenario narratives adapt to the nature of the risk too, typically demand-led, but stagflationary when supply-side or price pressures dominate.

Methodology

From macro judgement to model-ready scenarios

A baseline that isn't a black box

Our starting point is detailed analysis of the data, historical context and evolving economic relationships, not a large-scale econometric model, so we can always explain what's driving the forecast, and senior economists challenge the outlook on an ongoing basis.

A proprietary stress-testing model

Our scenarios are produced using proprietary macroeconomic stress-testing models, built in-house and underpinned by economic theory, ensuring internal consistency across scenarios and updates. Expert judgement remains central to how each scenario is constructed.

Probabilities anchored to a track record

Probabilities follow forward-looking distributions in the style used by the Bank of England and European Central Bank, informed by 25+ years of our own accuracy, and assessed through a proprietary Economic Risk Index reviewed at every reporting date.