Featured Product

    Olga Loiseau-Aslanidi

    Leading expert providing financial institutions worldwide with retail credit risk and interest rate risk modelling and validation, as well as analytical and advisory services for compliance and risk management.

    Olga Loiseau-Aslanidi is head of risk modelling based in Singapore. Her team develops and validates models focusing on macroeconomic conditions, market risk, interest rate risk and credit portfolio risk. Olga has led consulting projects for financial institutions on stress-testing, including CCAR, EBA, PRA, as well as IFRS 9 and IRB, and IRRBB model design and implementation. She also is directly involved in implementing risk management solutions for market risk and retail credit risk modelling.

    education
    CERGE-EI (Center for Economic Research and Graduate Education of Charles University and the Economics Institute of the Academy of Sciences)
    PhD, Economics and Econometrics
    Tbilisi State University
    BSc, Applied Mathematics
    Honors & Awards
    University of Michigan Research Mobility Fellowship GAUK Research Grant Citigroup/UNCF Fellowship World Bank Research Fellowship
    Expertise
    solutions
    Moody's Analytics | Credit Modeling

    Credit Risk Modeling: Moody’s Analytics delivers award-winning credit models and expert advisory services to provide you with best-in-class credit risk modeling solutions.

    Moody's Analytics | Stress Testing

    Stress Testing: Moody’s Analytics helps financial institutions develop collaborative, auditable, repeatable, and transparent stress testing programs to meet regulatory demands.

    Moody's Analytics | Economic Advisory

    Economic Advisory: Moody's Analytics provides expert economic advisory services to clients to minimize risks and maximize opportunities.

    TOPICS

    Econometric Modeling: Fully transparent econometric and statistical models to assess performance of geographies, financials and various asset classes.

    Financial Reporting and Accounting: Accounting field concerned with financial transaction summary, analysis, and reporting.

    Regulatory Reporting: EU: Submission of raw information and summary data to satisfy regulatory requirements.

    Regulatory Reporting: US: Submission of raw information and summary data to satisfy regulatory requirements.

    Stress Testing: Gauge of how certain stressors will affect a company, industry, or specific portfolio.

    Economic Risk Assessment: Quantitative economic assessment to help you understand the impact of forward-looking changes on the performance of your business and portfolios.

    Published Work
    Article

    Dynamic Model-Building: A Proposed Variable Selection Algorithm

    In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.

    January 2018
    Webinar-on-Demand

    IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios

    Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios.

    October 2017
    Presentation

    IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios Presentation Slides

    In this presentation, Dr. Olga Loiseau-Aslanidi and Alaistair Chan discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.

    October 2017
    Webinar-on-Demand

    EBA Scenarios for the 2016 EU-wide Stress Test

    The EBA has released its 2016 EU-wide Stress Test. This webinar dissects the scenarios, considers possible narratives driving them and their probability of occurring.

    April 2016
    Whitepaper

    Modelling and Stressing the Interest Rates Swap Curve

    We present a two-step modelling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. Our methodology is able to replicate two important features of the data: the dynamics of the spread across maturities and the alignment of the key swap rates tenor points to their corresponding government yields. Modern models of the term structure of interest rates typically fail to reproduce these and are not designed for stress testing purposes. We present results for the euro, the U.S. dollar, and British pound swap curves.

    September 2013
    Article

    Modeling and Stressing the Interest Rates Swap Curve

    This article presents a two-step modeling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. The results are shown for the euro, the US dollar, and British pound swap curves.