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    Quantitative Research Webinar Series: Multi-Period Credit Risk and Capital Planning with Proxy Functions

    Financial institutions are seeking ways to gain a better understanding of their credit portfolios’ risk dynamics, allowing them to foresee and to prepare for potential increases in capital requirements resulting from economic shocks.

    Aubrey Clayton, Associate Director, and Xuan Liang, Assistant Director of Portfolio Research at Moody’s Analytics, will discuss how to leverage a multi-period capital planning framework to determine the appropriate capital buffer level for a portfolio under various economic scenarios and how to fortify capital buffers through portfolio selection across periods of macroeconomic stress.

    Webinar Highlights:

    Overview of Multi-Period Capital Analysis
    Brute Force Approach
    Proxy Function Approach
    Related Articles

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    August 2020 Pdf Pierre Xu, Xuan Liang, Akshay Gupta, Amnon Levy

    Deep-Learning the Cash Flow Model

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    Multi-Period Capital Planning

    This paper proposes and illustrates a multi-period capital planning framework that can be used to calculate a portfolio's capital requirement over time and to determine the appropriate capital buffer level under various economic scenarios. Such analysis can help financial institutions gain a better understanding of credit portfolios' risk dynamics, allowing them to foresee and to prepare for potential increases in capital requirements resulting from economic shocks.

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