Inclusion of COVID period for credit modelling
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Hi everyone,
For commercial portfolios, did you (or are you) including/excluding the COVID period from the risk rating model development process and final model?
Specifically:
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Do you think COVID periods should be included in the model development dataset, and why? If so, do think it is reasonable to introduce any COVID period indicators and related interaction terms?
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If COVID periods are excluded, how should the cut-offs be decided (e.g., Jan 2020 – Dec 2020), and what analysis should be done to justify these exclusions and cut-offs?
Thank you,
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