Hi all,
For stress tests, mat E_1 = S*(-3/0.02 \rnormal() \rnormal() \rnormal() \rnormal() ) where, -3 is artificial GDP shock in quarter 1 and 0.02 is standard dev of GDP.
Rnormal vectors are random normal vectors of other macro variables such as CPI, interest rate, default rate and so on. (Monte Carlo simulation to forecast default rate in t+1 was preceded before the stress tests)
I'm trying to see how default rate changes when there is a shock in GDP but the question is how to present stress test when there is a series of shocks in quarter 1,2, and 3 in a row.
Please help how to present sequntial shocks stress test in STATA.
Thank you.
For stress tests, mat E_1 = S*(-3/0.02 \rnormal() \rnormal() \rnormal() \rnormal() ) where, -3 is artificial GDP shock in quarter 1 and 0.02 is standard dev of GDP.
Rnormal vectors are random normal vectors of other macro variables such as CPI, interest rate, default rate and so on. (Monte Carlo simulation to forecast default rate in t+1 was preceded before the stress tests)
I'm trying to see how default rate changes when there is a shock in GDP but the question is how to present stress test when there is a series of shocks in quarter 1,2, and 3 in a row.
Please help how to present sequntial shocks stress test in STATA.
Thank you.
