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Macro-Economic Stress Testing for Credit Portfolio

Following increased regulations, calculation of risk statistics under stressed macro-economic scenarios has gained importance.

Please join us for a webinar where we will present a methodology to incorporate stressed macro-economic factors into Economic Capital estimation. This methodology is based on extracting latent factors from observed historical credit transition matrices, and regressing these latent factors to macro-economic variables.

Agenda Topics Include:

  • Back-testing results of our forecasts with the historical observations
  • Impact of forecasted stressed scenarios for the next couple of years

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