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

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.