Paper presents forecasting method for bank losses

bank-of-finland
The Bank of Finland

A working paper published by the Bank of Finland presents a method for forecasting the losses to financial institutions caused by extreme scenarios.

In Forecasting expected and unexpected losses, Mikael Juselius and Nikola Tarashev define “unexpected losses” as the extent to which expected losses may be exceeded in extreme scenarios.

They outline a direct forecasting model for losses. This model aims to forecast in real time the level of quarterly loss rates, which the authors call “first

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