This webinar explores advanced scenario construction techniques for CECL and stress testing. Participants will learn how to build realistic, internally consistent economic forecasts by mimicking historical economic regimes—such as stagflation or past housing crises—and using the correlated paths of key macroeconomic variables. The session also covers how to apply standardized regulatory stress scenarios, including DFAST, to strengthen credit loss modeling and support more effective risk and capital planning.
What You’ll Learn:
- 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.
- 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.
- 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.
Who Should Attend:
This webinar is designed for professionals involved in CECL modeling, stress testing, and credit risk management at banks and credit unions, including risk management, finance, accounting, and credit analytics teams. It is also well suited for individuals responsible for capital planning, model governance, and regulatory reporting who want to strengthen the credibility and defensibility of their economic scenarios.