Gauging the Risk of Europe’s Banks: What Might the ECB Find?
The European Central (ECB) has begun a year-long comprehensive assessment of the Euro area banking system. In this webinar, Moody's Analytics seeks to provide a default data-driven context for the ECB's exercise and a preview for what is to come.
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Climate Risk Macroeconomic Forecasting - Executive Summary
This paper describes Moody's Analytics approach to generating climate risk scenarios.
Global Economic Outlook: December 2020
Presentation slides from the Council of the Americas CFO Forum of 2020.
Continued Stress of the UK Mortgage Market
We use the UK Mortgage Portfolio Analyzer to assess the adverse economic impact from of the global pandemic on a representative portfolio of the UK mortgages.
COVID-19: Living Through the Stress Test of the U.K. Mortgage Market
We use the Moody's Analytics Mortgage Portfolio Analyzer to quantify the impact of this significant economic stress on a portfolio of U.K. mortgages.
It's 2019, Do you Know Who Your Borrowers Are?
Technology and modern finance have enabled individuals and companies to become connected in complex ways. Key insights about the reputational risk of banking a customer are now buried inside tangled relationships that cross legal, company, and geographical borders
Analytical Solutions for Multi-Period Credit Portfolio Modelling
A framework for credit portfolio modelling where exact analytical solutions can be obtained for key risk measures such as portfolio volatility, risk contributions to volatility, Value-at-Risk (VaR) and Expected Shortfall (ES).
Analytical Solutions for Multi-Period Credit Portfolio Modelling
A framework for credit portfolio modelling where exact analytical solutions can be obtained for key risk measures such as portfolio volatility, risk contributions to volatility, Value-at-Risk (VaR) and Expected Shortfall (ES).
Dynamic Model-Building: A Proposed Variable Selection Algorithm
In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.
U.K. Residential Mortgages Risk Weights: PRA Consultation Paper CP29/16
This paper presents best practices for addressing PRA Consultation Paper CP29/16.
