Drivers of Time to Resolution and the COVID-19 Pandemic

ATB conducts enterprise-wide stress tests regularly in line with regulatory requirements such as for the annual Internal Capital Adequacy Assessment Process (ICAAP) and for quarterly reporting purposes. This requires forecasting a conditional pro-forma financial statement over a three-year period and the resulting key risk ratios. Credit losses tend to have the largest impact under most scenarios but an important secondary factor is the expected changes to net interest income. As more loans move from performing to non-performing it can have an important impact on net interest income because the times to resolution can vary with the business cycle and other economic factors. There is both a funding cost and a capital cost that has to be absorbed by the organization as the backlog increases. The focus of this project is to analyze the relationship between the business cycle, the COVID-19 pandemic, and the time to resolution using different survival analysis modelling approaches and machine learning methods.

Faculty Supervisor:

Sebastian Fossati Pereira

Student:

Partner:

ATB Financial

Discipline:

Sociology

Sector:

Finance and Insurance

University:

University of Alberta

Program: