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

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