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Olga is the Head of Risk Modelling at Consumer Credit Analytics APAC based in Singapore office. She manages a team of economists and risk modelers in Prague, Dubai and Shanghai who design models for forecasting and simulation, with an emphasis on stress-testing for three key areas: macroeconomic models, market risk and credit portfolio risk.

During her time at Moody’s based in Europe and now in Asia, Olga has led consulting projects with major banks and other financial institutions worldwide focusing on stress testing including CCAR, EBA, PRA as well as IFRS 9 and IRB model design and implementation.

She is directly involved in the research and implementation of Moody's Analytics risk management solutions for market risk and retail credit risk modelling, and often speaks at credit events and economic conferences worldwide, communicating the team’s research and methodologies to the market.

Before joining Moody's Analytics, Olga worked for the Academy of Sciences of the Czech Republic and at a consultancy firm focused on macroeconomic forecasting and analysis of emerging market economies. She has published several academic articles and has been teaching graduate courses in economics, statistics and econometrics.

Olga holds a Ph.D. and M.A. in Economics and Econometrics from Charles University (CERGE-EI), following studies for MSc. in Mathematics and a BSc. with honors in Applied Mathematics.

Related Insights

Moody's Analytics Webinar: Briefing on the EBA Scenarios

The European Banking Authority has released its scenarios for the 2018 EU-wide stress test. Join our experts as they analyze the EBA’s scenario assumptions, narratives driving them and compare them to other regulatory stress tests.

February 14, 2018 WebPage Dr. Olga Loiseau-Aslanidi, Petr Zemcik
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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 WebPage Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Dr. Dmytro Vikhrov
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 Pdf Dr. Olga Loiseau-Aslanidi, Alaistair Chan
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 WebPage Dr. Olga Loiseau-Aslanidi, Alaistair Chan
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 WebPage Petr Zemcik, Anna Zabrodzka, Dr. Olga Loiseau-Aslanidi
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 Pdf Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Dr. José Suárez-Lledó
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.

WebPage Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Dr. José Suárez-Lledó
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