Advanced CECL Scenario Construction: Mimicking Historical Regimes and Applying Regulatory Stress Tests

• Scenario Mimicry using Historical Regimes: Discover how to effectively utilize historical economic periods (or “regimes”)—such as the 1970s stagflation, the 2008 housing crisis, or the 2001 recession—to create forward-looking forecasts.
• Covariate Forecast Construction: Master the methodology for extracting and translating the historical paths of key macroeconomic covariates (e.g., GDP, unemployment, interest rates, housing prices) from a chosen regime and “mimicking” them as realistic, correlated inputs for your current CECL models.
• Regulatory Stress Scenario Utilization: Understand the structure and application of severely adverse forecasts provided by regulators, such as the Federal Reserve’s Dodd-Frank Act Stress Test (DFAST) scenarios. Learn how to map these standardized, multi-variable projections to your institution’s specific credit loss models to satisfy stress testing requirements.

WEBINAR DETAILS

This webinar goes beyond single-factor sensitivity to focus on the powerful technique of scenario construction for CECL and stress testing. Learn how to leverage historical economic patterns and regulatory frameworks to generate robust, internally consistent forecasts. We will demonstrate how to mimic historical regimes (like stagflation or housing crises) by utilizing the correlated paths of their associated macroeconomic covariates. The webinar will also cover the application of standardized, severely adverse regulatory stress scenarios (such as DFAST) to your credit loss models. Attendees will gain the technical skills needed to create and apply these advanced economic environments to drive better risk and capital planning.