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    EBA 2021 Stress Test for Dutch Mortgages: A Tough Squeeze for the Orange

    April 2021

    In this webinar, we will present our approach to forecasting impairment and capital using macroeconomic stress scenarios provided by the European Banking Authority.

    The methodology will be applied using the Moody’s Analytics Mortgage Portfolio Analyzer to assess the adverse economic impact of the global pandemic on a representative portfolio of Dutch mortgages.

    As the third wave becomes more apparent, the ability to forecast loss expectations quickly and accurately using external factors capturing the ever-changing predicted impact of Covid-19 on the economy becomes ever more important. We use a combination of historical payment profile dynamics and economic outlook to provide insight for the Dutch mortgage market.

    Agenda:
    - EBA Stress Test Macroeconomic Scenarios
    - Forecasting Impairment
    - Characterising a Representative Portfolio of Dutch Mortgages
    - Implications for Capital Requirements

    Moderator: Luca Magni, Associate Director

    Speakers:
    Dr Petr Zemcik
    , Senior Director, Predictive Analytics
    Barnaby Black, Director, Predictive Analytics

    • Presentation slides can be accessed here.
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