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Proprietary

Recession or growth: company cycles during the pandemic at Bci

Industry
Banking · corporate risk
Type of work
Time series & risk
Period
2020

Confidential project: code and data are not public.

Architecture

Product usage bank's own data,per company Time series per companyand sector NBER-style cycles turning points:recession or growth Liquidity and paymentcapacity Risk decisions Bci · 2020 · Teradata, Spark and Airflow

Goal

In the middle of the pandemic, with no timely macro data and no comparable history, know which client companies were entering recession or still growing, to estimate their liquidity and payment capacity for risk.

What I did

  • We built per-company time series from the bank's own data: usage across its different products.
  • We implemented an NBER-style monitoring framework to date turning points and separate recession from growth in each series, processing data from Teradata with Spark and orchestrating it with Airflow.
  • We turned those signals into liquidity and payment-capacity indicators for the risk team.

Stack

PythonSparkTeradataAirflowSeries de tiempo