Basel III

Recent Moody’s Analytics Insight

Insight Icons White paper  Proposed Capital Framework for Operational Risk
The Basel Committee on Banking Supervision (BCBS) published its second consultation on the capital measurement for operational risk in March 2016. This whitepaper gives a thorough overview of the BCBS’s consultation and the quantitative impact study (QIS) on the proposals set out in this consultation. The results of this study and comments received are expected to be used as inputs to the final design and calibration of the operational risk framework.

Author: Pierre-Etienne Chabanel
Date: March 2017 
Insight Icons White paper  Capital calculations under the revised securitasation framework 
The Basel Committee on Banking Supervision issued the final Basel III securitization framework in July 2016, incorporating the alternative capital treatment for simple, transparent, and comparable (STC) securitizations. This framework comes into effect in January 2018. This paper reviews the prescribed hierarchy of approaches, and looks at the potential overall impact of the framework on banks.

Author: Pierre-Etienne Chabanel
Date: January 2017 
Webinar  Setting Your 2017 IFRS 9 Priorities
Views on what banks should be thinking about for 2017 in their IFRS 9 implementation.

Date: January 2017
Webinar  Strategic Business Impact of IFRS 9
IFRS 9 will limit the earnings dynamics for long-dated assets, banks will need to consider the long-term impacts on their business and the marketplace.

Date: January 2017 
Webinar  Quantifying the Capital Impact of IFRS 9
Discussion on how to quantify the cost of capital under IFRS 9, how portfolio concentrations and credit migrations can impact allowances, and how to think about efficient asset origination that recognises the accounting rules.

Date: January 2017 

Immediate and strategic impact of IFRS 9
Learn how to address the immediate IFRS 9 implementation challenges relating to data, models and infrastructure and the strategic implications on earnings and capital management and banking culture.

Date: January 2017

Webinar  How to manage the impact of IFRS 9 on Earnings Volatility and the Supply and Demand of Regulatory Capital
With the implementation of IFRS 9 underway, institutions want to better quantify the impact of IFRS 9 on provisions, result earnings and capital buffers. During this video webinar, we will discuss the strategic impact of IFRS 9 on earnings, capital and investment concentration. In addition, we discuss how to incorporate these impacts into a strategic business process to better manage the interplay between supply and demand dynamics for regulatory capital.

Presenters: Som-Iok Leung (IACPM), Sidhartha Dash (Chartis), Burcu Guner (Moody's Analytics), Amnon Levy (Moody's Analytics)
Date: December 2016 
Insight Icons White paper  A Summary of BCBS Interest Rate Risk in the Banking Book Directive
This paper summarizes the core Pillar 2 approach of IRRBB, and the alternative Pillar 1 approach of IRRBB used by certain banks in a few situations. It also includes a practical approach to implementing IRRBB.

Author:Yannick Fessler
Date: November 2016
Webinar  Modelling IFRS 9 Impairments –Tactical Implementation Approaches
Learn how Moody’s Analytics is helping institutions of all sizes address the challenges of implementing the IFRS 9 impairment model.

In this webinar we will discuss:
Key challenges institutions face when implementing the impairment modelling requirements Specific relevance of impairment modelling for small and medium sized organizations Practical examples of how Moody’s Analytics solutions have been leveraged for IFRS 9
Presenters: Burcu Guner, Nihil Patel
Date: October, 2016
Insight Icons White paper  Risk Chartis IFRS 9 Market Report
International Financial Reporting Standard 9 (IFRS 9) is a high-impact symbolic, operational, IT and organisational transformation event for finance and risk. The Risk Chartis IFRS 9 Market Report focuses on the key challenges for banks implementing IFRS 9, including exclusive content from Moody's Analytics.

Authors: Burcu Guner and Amnon Levy
Date: October, 2016
Insight Icons White paper  Anticipating and Benchmarking Variance in IFRS 9 Expected Credit Losses
Many financial institutions are designing their model overlay with a view to manage macroeconomic forecast uncertainty and model risks. For this purpose, aside from the expected credit losses, risk management teams can provide the finance department with more measurements to anticipate variability and uncertainty levels around expected credit losses. This document discusses risk measurements that can be leveraged to achieve these objectives.

Authors: Pierre Gaudin
Date: July, 2016 
Insight Icons White paper  Managing IFRS 9 expected credit losses variance and forecast uncertainty
As financial institutions are currently focusing on the execution of their IFRS 9 program and solution integration, risk and finance teams are working together to anticipate their effect on the financial reports. Especially, on the impairment modeling side, point-in-time forward-looking credit assessments are prone to be more responsive to the surrounding economic environment than the through-the-cycle measurements in practice so far. As institutions are anticipating some variability of provisions levels in relation to evolving macro-economic assumptions as well as forecast uncertainty, the details of the macro-economic outlook and scenario assumptions as well as clarifications of provision variances over time, are set to be a particular area of focus.

Author: Pierre Gaudin
Date: June 3, 2016
Webinar  Webinar-on-Demand: Preparing Community Banks for CECL
The FASB voted to move forward with the new impairment model, known as the Current Expected Credit Loss (“CECL”) model, which will change how you calculate allowance for credit losses. Watch this webinar to help ensure your institution identifies challenges and processes early.

Presenter: Christian Henkel
Date: May 26, 2016 
Insight Icons White paper  IFRS 9 Analytical and Reporting Solutions for Structured Finance
With the release of IFRS 9 Financial Instruments, the International Accounting Standards Board set out new requirements for the accounting of financial assets, financial liabilities, and some other contracts to buy or sell non-financial assets. This paper explains the specific challenges facing structured finance investors and outlines how to effectively address these challenges.

Date: April 27, 2016
Authors: Miten Amin, Stephen Clarke, Gus Harris
Webinar  IFRS 9 Webinar - Moody's Analytics Credit Loss and Impairment Analysis Suite
As banks put in place simulation analysis to determine the best solutions to address the implementation of IFRS 9 Moody's Analytics webinar entitled 'Moody's Analytics Credit Loss and Impairment Analysis Suite' proposes a variety of solutions including macroeconomic scenarios for IFRS 9, Extensive data and off-the-shelf models for bench marking and supplementing internal IFRS 9 capabilities, IFRS 9 ECL methodology, IFRS 9 Calculations for Structured Products and Credit Impairment Analysis Software.

Date: March 17, 2016
Presenters Carles Herrero, Pierre Mesnard
Webinar  Webinar-on-Demand: IFRS 9 Impairment - Current ‘State of the Market’
This webinar provides some observations of some of the challenges and possible processes banks are considering for their IFRS 9 Impairment Implementation.

Date: March 9, 2016
Presenter: Burcu Guner
Webinar  Webinar Series - IFRS 9 Impairment: Challenges, Models and Software
Models for Implementation

This webinar discusses the IFRS 9 infrastructure challenges (data, performance, flexibility, controls, integration) and highlights some of the hidden challenges that implementation will bring to financial institutions.

Date: September 30, 2015
Speakers: Mauele Iorio, Dr. Juan Licari 

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