Forecasting refinancing costs for Asset and Liability Management in French Mortgage Credit: theory and practice

This work aims at refining and implementing a company model for calculating refinancing costs, using financial instruments, such as loans and swaps. We enhanced the model to better assess refinancing costs under different interest rate shock scenarios, and sensitivity analyses showed the impact of interest rate changes. To provide a clearer market trend, we used linear regression for future interest rate predictions. This work summarizes the internship’s achievements and explores advanced mathematical models for forecasting interest rates. By combining practical insights with theoretical frameworks, we aim to improve the accuracy of refinancing cost models in the French mortgage credit sector.