Dr. Ania Supady-Chavan (KeyCorp)

Title: Time Series Modeling and Forecasting an application to Banks’ stress-testing process.

Abstract: I want to invite you to participate in a small presentation on how time series modeling can be performed to establish position during simulated stress. My goal is to gain your interest in the area of challenging current modeling techniques and looking beyond standard model assumptions testing to assess the true risk of the formulated model for the intended use. I am interested in exploring the procedures that happen behind the scenes of any code’s syntax to better explore statistics that play crucial role in assessing models performance as well as the forecasting process. The forecasting of next periods ahead is the process that I would like to emphasize the most.