Macro-financial risk

Summary

Six-layer macro-financial risk framework with 134 modules covering banking, systemic, macro, cross-border, and integration risks. CCAR-style stress testing, CoVaR and SRISK methodology, FCI and credit-cycle indicators, and named-scenario loss propagation across portfolios and balance sheets.

What we do

Macro-financial risk work answers two questions for clients: where in the system is the next stress most likely to originate, and what does the propagation path look like across the assets I care about. The Argus platform structures the answer along six layers: Layer 1 banking (24 modules including MSPS scoring), Layer 2 systemic (33 modules including CoVaR, SRISK, MES), Layer 3 macro (35 modules including FCI and recession probability), Layer 4 cross-border (27 modules including TBML and FATF), Layer 5 integration, Layer 6 crosscutting.

Engagements deliver named stress tests under client-defined scenarios, quarterly macro briefs tracking the risk module set, and bespoke deep-reads on specific brittle joints (regional bank CRE, private credit opacity, sovereign-bank doom loops, USD funding stress, repo-funded basis trades). Outputs are sized for investment committee, risk committee, and chief economist consumption.

Methods

• CCAR-style stress testing methodology
• CoVaR and SRISK systemic risk decomposition
• Marginal Expected Shortfall (MES) computation
• Financial Conditions Index construction (FCI)
• Credit-to-GDP gap and cycle phase classification
• TBML and AML risk scoring
• Sovereign credit and bank balance-sheet propagation
• FOMC and ECB policy text analysis (NLP)

Public data partners

• FRB FCI (Chicago Fed NFCI, KCFSI, STLFSI)
• BIS credit-to-GDP gap statistics
• ICE BofA HY OAS spreads
• NYU V-Lab CoVaR, SRISK, MES (where public)
• FRED, World Bank GFDD, IMF FSI
• FOMC minutes, ECB statements (text)
• Public bank financial statements (FFIEC, ECB SREP)

Deliverables

• Quarterly macro risk brief with 6-layer dashboard
• Named stress test memo with loss waterfall
• Single-asset or single-name balance-sheet read
• Risk function review and methodology audit
• Bespoke risk-indicator dashboard

Sample engagements

• Quarterly macro risk brief for a global macro fund.
• CCAR-style stress test of regional bank CRE under named rate and growth shocks.
• Sovereign-bank doom loop deep read for a European credit team.
• Argus deployment inside an asset manager's risk function.
• Bespoke FCI dashboard for a sovereign wealth fund chief economist.