Watch a step-by-step example that illustrates how to use MATLAB® to perform stress testing based on economic scenarios.
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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
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