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.
How US policymakers respond to pressing fiscal challenges could have major implications for financial market conditions. These challenges, coupled with the debate surrounding the Fed's balance sheet and geopolitical issues, are of concern for those with exposure to market risk.