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Identify models for translating valuation shocks into Probability of Default (PD) and Loss Given Default (LGD) #118

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joemoorhouse opened this issue Jan 11, 2023 · 2 comments
Open

Identify models for translating valuation shocks into Probability of Default (PD) and Loss Given Default (LGD) #118

joemoorhouse opened this issue Jan 11, 2023 · 2 comments
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@joemoorhouse @floriangallo @mariembouchaala @MLevinMazars
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enhancement New feature or request

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@joemoorhouse
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By 'valuation shocks' we mean (uninsured) loss or disruption leading to loss of revenue.

Use as worked examples the following scenarios:

  1. Commercial/residential real estate portfolio used as collateral: how can (uninsured) loss impact the LGD of the loan?
  2. How can chronic heat impact PD of a company, for various sectors (e.g. construction, mining)
@joemoorhouse joemoorhouse added the enhancement New feature or request label Jan 11, 2023
@joemoorhouse
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Se also #112

@joemoorhouse
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A possible approach:
https://www.ecb.europa.eu/pub/conferences/shared/pdf/20170511_2nd_mp_policy/DeesHenryMartin-Stampe-Stress-Test_Analytics_for_Macroprudential_Purposes_in_the_euro_area.en.pdf

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@joemoorhouse @floriangallo @mariembouchaala @MLevinMazars