Acquisition, Development and Construction Risk Model Validation (ADC)

Acquisition, Development and Construction Risk Model Validation (ADC)

The Acquisition, Development and Construction Credit Risk Model was developed for a regional bank’s DFAST Stress Testing Submission. The ADC model was developed via autoregressive integrated moving average model with exogenous variables. Prescio validated the model by evaluating model methodology, model assumptions, input data and output analysis. Prescio made suggestions regarding the modeling non-stationary series as well as implementing time series analysis.