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Building Projections

Posted 10 years ago

I am trying to use Mathematica to create projections for the FRB's CCAR Y14A Stress Tests.

The FRB gives one parameters for "future" quarters and one uses them with a prebuilt model to project forward for 9 quarters.

The Parameters come in quarterly stresses for "Base", "Adverse", and "Severely Adverse": E.G. Real GDP growth: Q2 2014 Q2 2014 4.6 Q3 2014 3.1 Q4 2014 3.0 Q1 2015 2.9 Q2 2015 2.9 Q3 2015 2.9 Q4 2015 2.9 Q1 2016 2.9 Q2 2016 2.9 Q3 2016 2.9 Q4 2016 2.9 Q1 2017 2.7 Q2 2017 2.7 Q3 2017 2.6 Q4 2017 2.6

These parameters (there are 28) are used singly or in combination in models.

I need to have model (for instance Year[I+1 {Param}] + Year [ I {Param}] + Asset[I]

POSTED BY: Eric Spahr
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