Covid Impact Modeling
For a Large Bank in Qatar
- The Bank is one of the leading Private sector Islamic bank in Qatar.
- They have a large Lending portfolio comprising retail and Corporate .
- The Bank wanted to predict the impact of Covid on futuristic PIT Probabilities of Defaults (PDs) for their portfolio considering the current environment for this year and subsequent years.
- Macroeconomic factors like GDP growth rate, Inflation, crude oil price and Government spending for the prediction.
- Linked historic PDs (quarterly) for each risk segments through Principal Component Analysis and Multivariate Analysis.
- We projected macro-factors using economist forecasts and statistical modeling.
- We provided the projected quarterly PDs and annual PDs.
- Using the model and macro-economic projections, we projected forward looking segment wise defaults and PIT PDs .
- Project PDs product-wise and Rating/Bucket-wise.
- PDs are being used by the bank for their analysis and IFRS accounting.
- Factored U-shaped and V-shaped recovery over next five years.
