Bank Stress Testing Using MATLAB - MATLAB
Video Player is loading.
Current Time 0:00
Duration 4:28
Loaded: 3.66%
Stream Type LIVE
Remaining Time 4:28
 
1x
  • Chapters
  • descriptions off, selected
  • captions off, selected
  • en (Main), selected
    Video length is 4:28

    Bank Stress Testing Using MATLAB

    Watch a step-by-step example that illustrates how to use MATLAB® to perform stress testing based on economic scenarios. This video uses a simplified loan portfolio dataset to make it easier to understand the workflow. The example shows how to:

    • Import data into the MATLAB workspace
    • Join two tables together using the outerjoin function
    • Fit data using a generalized linear model
    • Predict the probability of default (PD) based on the fitted model and adverse economic scenarios
    • Calculate the expected loss using predicted PD

    Published: 28 Jun 2018

    Download Code and Files

    View more related videos