Estimating Losses on Resi Portfolios Under the Federal Reserve’s CCAR Scenario
Estimating Losses on Resi Portfolios Under the Federal Reserve’s CCAR Scenario
2 PagesCASE STUDY CASE STUDY: Estimating Losses on Resi Portfolios Under the Federal Reserve’s CCAR Scenario Results In March 2012, Moody’s Analytics used its residential mortgage loan-level credit model, Mortgage Portfolio Analyzer (MPA), to forecast expected losses on loans held by a major US bank under the Federal Reserve’s CCAR stress scenario. The losses computed by MPA yield strik- ingly similar results to the predictions published by the Fed
