Difference between revisions of "Macroeconomic Factors"
From Open Risk Manual
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Revision as of 11:42, 25 March 2021
Contents
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 |