Tag: Stress Test

An Update to Our CRE Credit Portfolio Forecast

Managing CRE Risk In Age of Covid-19

In past articles, we discussed a proposed Coronavirus stress test under CCAR (HERE) and provided our COVID-19 probabilities of default and loss given defaults for a model bank portfolio (HERE). In this article, we update our CRE modeling and take a deeper dive into loan-level analysis in order to help banks triage and manage both individual credits and their portfolio-level reserves.

MSA Home Price Stress Test Data

Interesting research from JP Morgan below using CoreLogic data that shows their stress test (similar to the Fed's CCAR scenarios) to various negative, severe and depression scenarios ranked by what city would suffer the most. Makes us remember what a 20% retrenchment would look like.  

 

Stress Test

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