The next step will be to start from that initial date; you will run your programs to all next historical daily images of the portfolio in order to:
- update your obligor base;
- update the status of past dues in comparison to materiality thresholds;
- update the situation of UTP indications;
- update any new contagion to be applied based on the portfolio evolution;
- update the situation of obligors in probation period.
At the end of the exercise you qauire your evolving daily history of default/sound obligors and contracts for the whole observation period that you’ve initially fixed.
That will form the fundamental dataset you will need to perform further analysis such as transition matrix, 1year DR, impact on default portfolio in amount and number of obligors, impact on PD & LGD, cure rate, on provisions, on RWA and on capital charges. We can help you in performing such analysis.
What if you do not dispose of historical daily snapshots or not enough to perform a quantitative impact assessment?
A closer workaround solution to daily images are the monthly images. However, such should be treated with a sufficient dose of conservatism, as monthly views have several disadvantages like ignoring any entry or exit from default between two monthly snapshots due to past due or UTP.
It is important all assumptions/workaround scenarios to be approved beforehand knowing their impact on your simulation results.