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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
|