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
Video - Client Only »