Forecasting Using Markov Chains
This is a short course designed to provide an understanding of roll rates and their use in forecasting.
The sections are:
- Introduction to roll rates
- Projecting by multiplying roll rate matrices
- Markov Chains
- Sensitivity of Markov Chains
- Practical uses of chained roll rates
- Issues with the models
- Advanced Markov Chains
- Multiplying roll rate matrices
- Creating a Markov Chain
- Interpreting the Markov Chain output
- Evaluating sensitivities and issues
- Using Vintage in a Markov Chain
Course length: flexible online
Who should attend?
Designed for Credit risk or finance analysts seeking a better understanding of roll rates and how to use them in forecasting.