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Amnon heads the portfolio research group that is responsible for research and model development for Moody’s Analytics portfolio and balance sheet models. His current research interests include modeling credit portfolio risk, integrated models for balance sheet management, and liquidity risk.

Prior to joining Moody’s Analytics, Amnon was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley. He is currently teaching a course on credit risk at the Haas School of Business MFE program. Amnon has been published in the Journal of Financial Economics, Journal of Monetary Economics, Encyclopedia of Quantitative Finance, Risk, Journal of Banking and Finance, and Journal of Risk Model Validation.

He holds a BA in Economics from the University of California at Berkeley and a PhD in Finance from the Kellogg Graduate School of Management, Northwestern University.

Related Insights

A Composite Capital Allocation Measure Integrating Regulatory and Economic Capital, and the Impact of IFRS 9 and CECL

We propose a composite capital allocation measure integrating regulatory and economic capital. The approach builds upon the economic framework underpinning traditional RORAC-style business decision rules, allowing for an optimized risk-return tradeoff while adhering to regulatory capital constraints. The measure has a number of depictions, and it can be viewed as a weighted sum of economic and regulatory capital, as economic capital adjusted for a regulatory capital charge, or as regulatory capital adjusted for concentration risk and diversification benefits. Intuitively, when represented as economic capital adjusted for a regulatory capital charge, the adjustment can be represented as the additional top-of-the-house regulatory capital, above economic capital, allocated by each instrument's required regulatory capital. We show that the measure has ideal properties for an integrated capital measure. When regulatory capital is binding, composite capital aggregates to the institution's top-of-the-house target capitalization rate. We find the measure is higher than economic capital, but lower than regulatory capital for instruments with high credit quality, reflecting the high regulatory capital charge for this instrument class. Finally, we address how IFRS 9/CECL impacts the CCM and discuss the broader implications of the new accounting standards.

May 2017 Pdf Dr. Amnon Levy, Dr. Pierre Xu

Measuring and Managing Credit Earnings Volatility of a Loan Portfolio Under IFRS 9

IFRS 9 materially changes how institutions set aside loss allowance. With allowances flowing into earnings, the new rules can have dramatic effects on earnings volatility. In this paper, we propose general methodologies to measure and manage credit earnings volatility of a loan portfolio under IFRS 9. We walk through IFRS 9 rules and the different mechanisms that it interacts with which flow into earnings dynamics. We demonstrate that earnings will be impacted significantly by credit migration under IFRS 9. In addition, the increased sensitivity to migration will be further compounded by the impact of correlation and concentration. We propose a modeling framework that measures portfolio credit earnings volatility and discuss several metrics that can be used to better manage earnings risk.

January 2017 Pdf Dr. Amnon LevyDr. Yanping PanDr. Yashan Wang, Dr. Pierre Xu, Dr. Jing Zhang, Xuan Liang

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 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.

December 2016 WebPage Burcu Guner, Dr. Amnon Levy