Managing Director, Chief International Economist
Juan and his team are responsible for generating alternative macroeconomic forecasts for Europe and for building econometric tools to model credit risk phenomena. His team develops and implements risk solutions that explicitly connect credit data to the underlying economic cycle, allowing portfolio managers to plan for alternative macroeconomic scenarios. These solutions are leveraged into stress testing and reverse stress testing practices.
Juan communicates the team’s research and methodologies to the market and often speaks at credit events and economic conferences worldwide. He holds a Ph.D and an MA in economics from the University of Pennsylvania and graduated summa cum laude from the National University of Cordoba in Argentina.
Probability-Weighted Outcomes Under IFRS 9: A Macroeconomic Approach
In this article, we discuss development of a framework that addresses the forward-looking and probability-weighted aspects of IFRS 9 impairment calculation using macroeconomic forecasts. we address questions around the practical use of alternative scenarios and their probabilities.
Complying with IFRS 9 Impairment Calculations for Retail Portfolios
This article discusses how to address the specific challenges that IFRS 9 poses for retail portfolios, including incorporating forward-looking information into impairment models, recognizing significant increases in credit risks, and determining the length of an instrument’s lifetime.
Arbitrage-free Scenarios for Solvency II
This article discusses a macroeconomic forecasting model that is able to generate arbitrage-free scenarios. Even though these types of scenarios are relevant for all practitioners, insurance companies are specifically required to apply arbitrage-free scenarios in the context of real-world economic forecasting.
Modeling and Stressing the Interest Rates Swap Curve
This article presents a two-step modeling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. The results are shown for the euro, the US dollar, and British pound swap curves.
A Macroeconomic View on Stress Testing
This article discusses how developing deterministic scenarios form a macroeconomic view on stress testing that helps to uncover system or enterprise-wide vulnerabilities and assist banks in making more informed business decisions.
Stress Testing of Retail Credit Portfolios
In this article, we divide the stress testing process for retail portfolios into four steps, highlighting key activities and providing details about how to implement each step.
Stress Testing of Credit Migration: A Macroeconomic Approach
The main purpose is to stress test the elements of a standard, through-the-cycle rating transition matrix with an explicit and transparent connection to macroeconomic drivers. The challenge behind this exercise is evident in the time-series nature of through-the-cycle migrations: They are built to be stable over time, and changes happen in waves (of upgrades or downgrades) that disappear once the economic and credit conditions go back to normal.
Modeling and Scenario Analysis of a Nation’s Retail Credit Sector
In this case study, the client evaluated and quantified the risks and sensitivities of a retail portfolio for which it had limited historical performance data. The analysis showed that even under a very negative macro scenario where the unemployment rate rises up to 16%, the deterioration of the mortgage book would not be dramatic.
Reverse Stress Testing from a Macroeconomic Viewpoint
This article, published by PRMIA in October 2012, outlines quantitative challenges and solutions for the practical implementation of reverse stress testing.
A Macro-finance View on Stress Testing
For most financial practitioners, stress testing is a “must-do” activity, even if it is not a regulatory requirement. Such stress testing encompasses a wide range of sophisticated and quantitative exercises, including assessments of market, credit and liquidity risks. This article discusses several approaches and outlines a foundation for a robust and consistent stress testing framework.
Quel scénario choisir? Approche macroéconomique des stress-tests
Quand les banques utilisent les tests de résistance pour leur gestion interne, elles ont le choix des scénarios et des modèles. Revue des méthodes préconisées par Moody’s Analytics.
Economic Scenario Generator: A Case Study on Conditional Simulations for Future Eurozone
The Economic Scenario Generator (ESG) measures credit and market risk from an integrated perspective. Here we take a look at how it can be used in a case study on future euro zone inflation from both the quantitative and qualitative perspectives, and how ESG can also assist with effective ALM strategy since it can also apply scenarios to complex financial products such as variable annuities.
Downside Risks to the Macro Outlook: Retail Credit Risk Implications
In this presentation we examine how to anticipate downside risks & identify different potential scenarios, the translation of macro scenarios to retail credit portfolios, and put forth a case study which demonstrates a vintage approach to modelling risk.
Managing Stress Testing in a Basel III World
In this presentation you will learn a best practice approach to implementing stress testing under Basel III and see a demonstration of Scenario Analyzer.
Macroeconomic Stress Testing
This presentation outlines the key risks to the global recovery, linking scenario analysis with risk parameters, and reverse stress testing from a macroeconomic viewpoint. It was presented at the BBA Stress Testing event on March 30, 2012 in London.
Reverse Stress Testing from a Macro Viewpoint
Download this presentation to understand the key stress testing challenges. This presentation was given at Moody's Analytics Economic Outlook Conference Q4 2012 in November in London.