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