Junze Lin

Attributing Differences Between Forecast Runs to Input Changes, With Applications to CCAR and CECL Exercises

Forecasting systems used in the Comprehensive Capital Analysis and Review (CCAR) and Current Expected Credit Losses (CECL) processes combine portfolio data, macroeconomic scenarios, model specifications, business assump- tions, and management adjustments. When the forecast changes from one run to the next, practitioner...