Forecasting Corporate Default Rates with MATLAB
This webinar shows how to build a forecasting model for corporate default rates with MATLAB.
- Working with historical credit migrations data to construct time series of interest and to visualize default rates dynamics
- Using statistical and econometric tools to fit and analyze a forecasting model for corporate default rates
- Backtesting the forecasting model
- Visualizing risk regions for scenario analysis and stress testing
- Forecasting full transition matrices
Presenter: Gabo Lopez-Calva
Recorded: 4 Apr 2012
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