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Forecasting Corporate Default Rates with MATLAB

Gabo López-Calva, MathWorks

This webinar shows how to build a forecasting model for corporate default rates with MATLAB.

Topics include:

  • 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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