This paper is about quantile regression modelling to expand understanding of the impact of all scenarios on economic capital
Section 1 is an introduction.
In Section 2 we discuss the illustrative business model that uses the input scenarios and capital results to form the basis of our analysis.
In Section 3 we create a model that displays two risk drivers and the sensitivity of the model results to these drivers.
In Section 4 we discuss how to use a quantile regression model to construct a economic dashboard.
In Section 5 we end the paper with a list of strengths and weaknesses of the QR method and a brief discussion of potential uses.
Finally, Appendix A discusses the QR methodology, Appendix B discusses the generation of the Interest rate scenarios, and Appendix C discusses quantile regression modeling in R.