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

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches

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