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

 - Summary

Exercises

​

- 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.