Credit Portfolio Management and Stress Testing Models Research & Development

Consistent with industry norms, ATB Financial conducts both mandatory and discretionary stress tests of the whole institution and of its credit portfolio. This project aims to contribute to the refinement of the in-house expertise on methodologies employed to measure credits risk and the overall level of risk of the institution. These activities normally requires management to provide an estimate for ATB’s financial performance, capital and liquidity position conditional on a set of predefined scenarios. The focus of the research project is on the estimation of default probabilities and loss given default.

Faculty Supervisor:

Valentina Galvani

Student:

Tian Yu Zhang

Partner:

ATB Financial

Discipline:

Economics

Sector:

Finance, insurance and business

University:

University of Alberta