Following session 1, where we will show how using fully-specified macroeconomic scenarios for the Nordic countries discussed in session 1 can allow liquidity risk, interest rate risk and credit risk to be concurrently assessed; thereby breaking down the silos that traditionally exist in these risk disciplines.
Topics discussed include:
• Designing forward-looking behavioural models for managing liquidity and interest rate risk in the banking book
• Building real-world scenarios with interest rate and liquidity shocks
• Case studies to forecast customer behavior such as loan prepayment and deposit withdrawals
Dr. Juan M. Licari, Managing Director - Chief International Economist, Moody's Analytics
Karen Moss, Director - Product Management, Moody's Analytics
Dr. Olga Loiseau-Aslanidi, Director - Consumer Credit Analytics, Moody's Analytics
Presentation slides can be accessed here.
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