4:28
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
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