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Download MFM Modeling Workshop: Stress Test/CCAR Model Instructor: Andy Mack, Christine Gwynn
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MFM Modeling Workshop: Stress Test/CCAR Model Instructor: Andy Mack, Christine Gwynn Members: Hyun Joo Cho, Yingying Fang, Jiachen Ning, Nan Shen, Ya Tu, Maohua Xu Background & Review ❏ CCAR analysis for Cash Money Bank ❏ Running Stress Test ❏ Methodology: ❏ Part I Loss Distribution Approach Negative Binomial For Frequency Distribution Lognormal for Severity Distribution Monte Carlo Simulation ❏ Part II Select and Model Economic Variables Forecast loss amount under Scenarios Frequency Distribution Graph Table CDF ECDF Correlated Economic Factors for Frequency Correlated Factors Test Intuition Correlated Factors Test Intuition Unemployment Rate + + Market Volatility Index + + 10 Year Treasury Yield + ㅡ Euro Area Inflation + ㅡ BBB Corporate Yield + + Developing Asia Real GDP Growth + ㅡ Mortgage Rate + ㅡ Developing Asia Inflation + ㅡ Dow Jones Total Stock Market ㅡ ㅡ Japan Bilateral Dollar Exchange Rate ㅡ ㅡ House Price Index ㅡ ㅡ UK Inflation + ㅡ Commercial Real Estate Price Index ㅡ ㅡ UK Bilateral Dollar Exchange Rate ㅡ ㅡ Correlated Economic Factors for Percentile Correlated Factors Test Intuition Unemployment Rate ㅡ + 3 Month Treasury Yield ㅡ 10 Year Treasury Yield Correlated Factors Test Intuition Euro Area Inflation ㅡ ㅡ ㅡ Developing Asia Real GDP Growth ㅡ ㅡ ㅡ ㅡ Developing Asia Inflation ㅡ ㅡ BBB Corporate Yield ㅡ + Developing Asia Exchange Rate ㅡ ㅡ Mortgage Rate ㅡ ㅡ Japan Inflation + ㅡ Dow Jones Total Stock Market + ㅡ Japan Bilateral Dollar Exchange Rate + ㅡ House Price Index + ㅡ UK Inflation ㅡ ㅡ Commercial Real Estate Price Index + ㅡ UK Bilateral Dollar Exchange Rate + ㅡ Market Volatility Index ㅡ + Regression Model with 14 Economic Factors for Frequency Better Regression Model for Frequency ANOVA Test for Two Regression Models for Frequency Regression Model with 17 Economic Factors for Percentile Better Regression Models for Percentile Forecasting -Based on regression Models Frequency ~ House_Price_Index+Commercial_Price_Index+ Market_Volatility_Index; Forecasting_Frequency = 438.65 -0.62314*House_Price_Index -1.1224*Commercial_Price_Index + 0.56964*Market_Volatility_Index; Forecasting -Based on regression Models Percentile~ House_Price_Index + Commercial_Price_Index + Market_Volatility_Index; Forecasting_Frequency = .8983369 -.0032984*House_Price_Index .0007456*Commercial_Price_Index - .0001746*Market_Volatility_Index; Regression Model for forecasting Forecasting - Best model Percentile ~ Unemployment_rate + Market_Volatility_Index + UK_Inflation GUI for graphing the results Let’s run Matlab NOW! GUI for graphing the final results Let’s run Matlab NOW! BUT…... Conclusion Percentile use 100% Projection Losses and Capital Plan Questions?
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