Presenter: Mark Zandi
In this webinar we look at the evolution of credit loss forecasting since the start of DFAST and how stress testing capabilities can be leveraged to comply with upcoming changes related to impairment accounting (CECL and IFRS 9).
Authors: Emil Lopez, Anna Krayn
Date: September 22, 2015
On July 17th, the Federal Reserve Board (FRB) issued a notice of proposed rulemaking (NPR) for the 2016 and 2017 Comprehensive Capital and Assessment Review (CCAR) exercises.
Authors: Jacob Grotta, Cayetano Gea-Carrasco, Anna Krayn, David Little
Date: August 13, 2015
This presentation discusses how senior management can leverage stress testing for improving their bank's performance.
Authors: Cayetano Gea-Carrasco
Date: February 24, 2015
Some of the pushback we’ve had from internal and external validators and the Fed during the last round of Comprehensive Capital Analysis and Review is that stress-testing models need to be very simple. Tony Hughes, senior director for consumer credit at Moody's Analytics, discusses that while it's important for bank managers to understand their stress testing models, the potential for these models to yield deep insights will be lost if we oversimplify them.
Author: Tony Hughes
Date: May 15, 2013
In this article, adapted from the original Moody’s Analytics whitepaper, "Loss Reserves are Falling, But They Could Soon Be on the Rise”, Community Banks are offered an analysis of how they can use the Financial Accounting Standards Board’s (FASB) proposed updates to accounting standards in regard to allowance for credit losses (ACL) from December of 2012 to their competitive advantage. The systems and processes that can help banks comply with the new standards can also be leveraged to improve how they do business.
Author: Christian Henkel & Jan Larsen
Date: April 12, 2013
Depending on your point of view, regulations can be viewed as a hindrance or a compliance cost. However, hidden in the pending regulations being mandated in the global financial service sector is an opportunity to leverage regulatory investment into business gains. Download this article and discover the ability to leverage the expenditure on data analytics to capture enhanced business value consistently over a longer term. A well-structured data analytics infrastructure could pay for itself in ways more than one.
Author: John Baer
Date: March 21, 2013
In this article, Thomas Day, Senior Director at Moody’s Analytics, provides an insightful summary of the 2013 Dodd-Frank Act Stress Tests, and compares the results with the 2012 stress test. On March 7, 2013, the U.S. Federal Reserve System released the results of the 2013 Dodd-Frank Act Stress Test (DFAST). As expected, the overall result of the exercise reflects improvement in the overall capital strength of the industry, with an aggregate tier-1 common equity of 11.1% versus a 10.1% level for the 2012 stress test results.
Authors: Thomas Day, Cayetano Gea-Carrasco, Anna Krayn
Date: March 11, 2013
In December 2012, the Financial Accounting Standards Board (“FASB”) and the International Accounting Standards Board (“IASB”) released their proposed update to the accounting standards for the Allowance for Credit Losses (“ACL”). The standards are intended to address weaknesses in the prior guidance that were revealed by the financial crisis. Specifically, the guidance seeks to facilitate more timely recognition of likely losses, and also seeks to simplify the prior guidance by establishing a single standard for impairment. In this whitepaper, we argue that the banks who best adapt to the new standards will be at a competitive advantage, and not only because of the edge inherent in setting more accurate provisions. The same systems and processes that can help you comply with the new standards can be leveraged to improve a wide array of core business activities.
Authors: Christian Henkel, Jan Larsen
Date: February 6, 2013
Download this whitepaper to understand how Moody’s Analytics’ analysis derives the credit loss estimates for CRE loan portfolios held by CCAR firms. Our analysis estimates the expected nine quarter, cumulative CRE portfolio loss through the end of 2014 is 4.7% under the CCAR 2013 Severely Adverse scenario. In the current paper we discuss these results, and how we attribute the lower loss estimate compared to last year’s stressed scenario to a number of different factors.Authors: Megha Watugala, Jun Chen, Kevin CaiDate: January 9, 2013
This presentation focuses on a Macro-Finance Approach: Option-Pricing vs. General Equilibrium, real world macro scenarios (assessing relevant risks in a forward-looking fashion), connecting macro factors with risk parameters, and connecting macro factors with credit parameters. This presentation also includes a case study of retail credit.
Authors: Dr. Jose Suarez-Lledo, Luca Magni Date: May 29, 2012
When the Dodd-Frank Act was passed it set new standards for risk based capital and leverage ratios that will have to be followed in the future. This article explains the different requirements for ‘well-capitalised’ and ‘adequately capitalised’ banks or systemically important non-bank finance companies and the minimum ratios that apply to them. The aim of this is similar in tone to basel III, and will take precedent over any previous Basel regulations in terms of capital requirement. Date: March 1, 2011
A further consideration thrown up by the Dodd-Frank Act is that of added supervision over issues of systemic risk. Regulation is defined for systemically important bank holding companies and systemically important nonbank finance companies in order to address any risk to the financial stability of the US posed by these institutions. Find out more about the regulations that relate to this here. Date: March 1, 2011
One of the aims of the Dodd-Frank Act is to help overcome the difficulties associated with producing accurate credit ratings and risk assessing complex structured products. Part of this process involves the requirement that U.S regulators reduce their reliance on credit ratings. This article shows the extent of the current use of credit ratings by the U.S regulators and the timeline by which certain ratings references will be removed. Date: March 1, 2011
John Baer, Senior Director of Product Management at Moody’s Analytics, tackles questions over banking regulations and the importance of commercial underwriting. He suggests that the need to use superior analytics and data management practices will be the key to making better pricing and loan decisions, as will transparent and up front processes and effective data.Author: John BaerDate: January 3, 2011