Macroeconomic Factors

From Open Risk Manual

List of Macroeconomic Factors

ESG Factors

Factors considered in economic scenario generators

  • Sovereign interest rates and returns
  • Corporate bond yields and returns
  • Equity returns
  • Foreign-exchange rates
  • Inflation
  • GDP
  • Unemployment
  • Mortgage-backed securities
  • Covered bonds
  • Municipal bonds (important in U.S. models)
  • Derivatives

Stress Testing Macro Factors

Factors considered in regulatory stress testing

Government Finance

Factor Description
Government Debt Indebtedness of the sovereign entity (and associated sub-sovereigns)

External Trade and Exchange Rates

Factor Description
FX Rates Exchange Rate with Foreign Currencies

Monetary and Financial Statistics

Factor Description
Risk Free Interest Rate Interest rate when credit risk is negligible

Output, Demand and Labour Market

Factor Description
Unemployment Rate Percentage of active population that is in employment
Gross Domestic Product Economic Output

Prices, Sector Fundamentals

Factor Description
Real Estate Prices Market valuation of real estate
Vacancy Rates Commercial Real Estate Utilization
Commodity Prices Market valuation of commodities