Associate Director, Senior Economist
Olga and her team design forecasting models that emphasize stress testing using advanced econometric techniques for three key areas: macroeconomic models, traded credit and market risk, and credit portfolio risk. Olga’s key responsibilities include management of consulting projects with banks and other financial institutions worldwide. She is also directly involved in research and implementation of Moody's Analytics risk management solutions.
Before joining Moody's Analytics, Olga worked for the Academy of Sciences of the Czech Republic and a consultancy firm focused on the macroeconomic forecasting and analysis of emerging market economies. She has taught courses in economics and statistics and authored several academic articles.
Olga holds a Ph.D. and M.A. in Economics and Econometrics from CERGE-EI (a joint workplace of the Center for Economic Research and Graduate Education of Charles University and the Economics Institute of the Academy of Sciences of the Czech Republic), and a BSc. in Applied Mathematics.
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.
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.
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.