Employees of banks and other financial institutions, corporate sector companies, consulting companies, employees of public institutions, who face the need to make macroeconomic and industry forecasts.
To help participants acquire and develop entry-level analytical and practical tools for independent forecast modeling.
To help participants develop the following skills with respect to forecasting economic indicators:
- Use of econometric instruments for practical forecasting.
- Constructing a model applicable for forecasting. Assessing model parameters and choosing the functional form (levels vs gains; linear vs non-linear).
- Model diagnostics and determining its use limitations (maximum forecasting horizon, applicability for developing stress scenarios, etc.)
- Avoiding common mistakes (spurious regression, overparametrization, underestimation of structural shifts and exceptional points, etc.).
Forecasting in credit analysis. Training program:
Course 2: practical aspects of economic modeling
- Necessary stages of modeling time series of an indicator. Input data. Intuitive understanding of regression.
- Assessment of coefficients, their importance, robustness of model parameters, intra-sample and out-of-sample qualities.
- Practical task: a forecasting model for interest rates.
- Selecting explanatory variables.
- Mini-test based on previous day materials.
- Choosing functional form of the equation. Error correction model.
- Residuals diagnostics. How to improve the resulting model?
- Practical task: foreign exchange rate model.
- Seasonal smoothing.
- Review of useful methods in practical econometrics.
Please note: all ACRA trainings are held in Russian.