Banking

Insurance

Modelling

Cross-Asset Stress Testing for Banks and Insurers

Designing coherent macro-financial shocks that translate consistently into rates, credit, equity, property, FX and insurance liabilities.

By Jonas Osman Abdelghafour · 2026-02-21 · 12 min read

Cross-Asset Stress Testing for Banks and Insurers — technical illustration by Jonas Osman Abdelghafour, banking and insurance and modelling risk modelling — Cross-Asset Stress Testing for Banks and Insurers — Banking · Insurance · Modelling

Coherence is the whole point

A stress scenario that shocks rates without repricing credit or FX is not a scenario — it is a spreadsheet exercise.

Capital ratio trajectory under baseline and adverse stress paths, illustrating "Coherence is the whole point" in Cross-Asset Stress Testing for Banks and Insurers — Figure 1. Capital ratio trajectory under baseline and adverse stress paths, in the context of coherence is the whole point.

Translation layer

Build an explicit mapping from macro drivers to asset-class risk factors, and document every elasticity.

Prior and posterior densities illustrating Bayesian parameter updating, illustrating "Translation layer" in Cross-Asset Stress Testing for Banks and Insurers — Figure 2. Prior and posterior densities illustrating Bayesian parameter updating, in the context of translation layer.

Insurance liabilities

Liability revaluation must respond to the same rate and inflation paths as the asset side, or capital results will mislead.

Schematic of a credit risk parameter chain linking exposure, default probability and loss given default, illustrating "Insurance liabilities" in Cross-Asset Stress Testing for Banks and Insurers — Figure 3. Schematic of a credit risk parameter chain linking exposure, default probability and loss given default, in the context of insurance liabilities.

Related articles

Work with Jonas

For partnerships, modelling reviews, advisory roles, institutional risk projects or technical collaboration.