Director – Economic Research
Sohini Chowdhury is a director at Moody’s Analytics. She leads client projects related to stress testing and other regulatory requirements, and oversees the modeling of market risk instruments among the US staff. She has a PhD in economics from Purdue University, and a master’s in applied statistics from West Chester University. Before joining Moody’s, Sohini taught at the University of Cincinnati.
In this article, we model and forecast the term structure of swap spreads across a range of currencies using a principle component decomposition.