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Granular risk rating models allow creditors to understand the credit risk of individual loans in a portfolio, facilitating underwriting and monitoring activities. In this webinar we will outline the value of granular risk rating models for CECL.

Related Insights

The Effect of Ride-Sharing on the Auto Industry

Many in the auto industry are concerned about the impact of ride-sharing. In this article analyze the impact of ride-share services like Uber and Lyft on the private transportation market.

July 2017 Pdf Dr. Tony Hughes

The Effect of Ride-Sharing on the Auto Industry

In this article, we consider some possible long-term ramifications of ride-sharing for the broader auto indust

July 2017 WebPage Dr. Tony Hughes

Rethinking Commercial Real Estate Credit Risk

Commercial real estate (CRE) loans are seeing strong loan growth, combined with easing underwriting, resulting in increased credit risk. CRE mortgages often make up a significant part of a bank’s loan portfolio. CRE lending is quickly becoming an area of focus for regulators, who are looking into industry practices and concentration risk management at banks of all sizes.

April 2017 WebPage Sumit Grover, Christian Henkel

CRE CECL Methodologies

The second in our CECL Quantification webinar series, this webinar discussed how commercial real estate (CRE) models and methodologies can be leveraged to fulfill CECL requirements, and key considerations in transitioning these models.

February 2017 WebPage Jun ChenChristian Henkel

CRE CECL Methodologies Webinar Slides

In this presentation for the CECL Quantification webinar series, we discuss how commercial real estate (CRE) models and methodologies can be leveraged to fulfill CECL requirements, and key considerations in transitioning these models.

February 2017 Pdf Jun ChenChristian Henkel

"How Will the Increase in Off-Lease Volume Affect Used Car Residuals?" Presentation Slides

Increases in auto lease volumes are nothing new, yet the industry is rife with fear that used car prices are about to collapse. In this talk, we will explore the dynamics behind the trends and the speculation. The abundance of vehicles in the US that are older than 10 years will soon need to be replaced, and together with continuing demand from ex-lessees, this demand will ensure that prices remain supported under baseline macroeconomic conditions.

February 2017 Pdf Dr. Tony Hughes, Michael Vogan

How Will the Increase in Off-Lease Volume Affect Used Car Residuals?

Increases in auto lease volumes are nothing new, yet the industry is rife with fear that used car prices are about to collapse. In this webinar, we explore the dynamics behind the trends and the speculation. The abundance of vehicles in the US that are older than 10 years will soon need to be replaced, and together with continuing demand from ex-lessees, this demand will ensure that prices remain supported under baseline macroeconomic conditions.

February 2017 WebPage Dr. Tony Hughes, Michael Vogan

Economic Forecasting & Stress Testing Residual Vehicle Values

To effectively manage risk in your auto portfolios, you need to account for future economic conditions. Relying on models that do not fully account for cyclical economic factors and include subjective overlay, may produce inaccurate, inconsistent or biased estimates of residual values.

December 2016 WebPage Dr. Tony Hughes

Improved Deposit Modeling: Using Moody's Analytics Forecasts of Bank Financial Statements to Augment Internal Data

In this article, we demonstrate how to combine our forecasts of bank financial statements with internal data to produce forecasts that better reflect the macroeconomic environment posited under the various Comprehensive Capital Analysis and Review scenarios.

August 2016 Pdf Dr. Tony Hughes, Brian Poi

Improved Deposit Modeling: Using Moody's Analytics Forecasts of Bank Financial Statements to Augment Internal Data

We demonstrate how our service can be used to produce more realistic forecasts of income and balance sheet statements.

July 2016 Pdf Dr. Tony Hughes, Brian Poi

Implications of the FASB's New Credit Loss Impairment Standard

On June 16, FASB issued the much anticipated financial instruments impairment standards update. The implications of this standard are significant and will change the way credit losses are measured for most financial assets (e.g. receivables, debt securities and loans).

June 2016 WebPage Anna KraynChristian Henkel

Preparing for the New Impairment Requirements: A Practitioner's View

This article describes the new standards set forth by the FASB. It covers the history of the ALLL and explains how the recent financial crisis highlighted the need for new standards.

June 2016 WebPage Christian HenkelEmil Lopez

Are Deposits Safe Under Negative Interest Rates?

In this article, I take a theoretical look at negative interest rates as a means to stimulate the economy. I identify key factors that may influence the volume of deposits held in the economy. I then empirically describe the unique situation of negative interest rates.

June 2016 WebPage Dr. Tony Hughes

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. Ensure your institution identifies challenges and processes early.

May 2016 WebPage Christian Henkel

AutoCycle™: Residual Risk Management and Lease Pricing at the VIN Level

We demonstrate the core capabilities of our vehicle residual forecasting model to capture aging and usage effects and illustrate the material implications for car valuation of different macroeconomic scenarios such as recessions and oil price spikes.

May 2016 Pdf Dr. Tony Hughes

Benefits & Applications: AutoCycle - Vehicle Residual Value Forecasting Solution

With auto leasing close to record highs, the need for accurate and transparent used-car price forecasts is paramount. Concerns about the effect of off-lease volume on prices have recently peaked, and those exposed to risks associated with vehicle valuations are seeking new forms of intelligence. With these forces in mind, Moody's Analytics AutoCycle™ has been developed to address these evolving market dynamics.

May 2016 Pdf Dr. Tony HughesDr. Samuel W. Malone, Michael Vogan, Michael Brisson

Alternatives to Long-Term Car Loans?

In this article, our experts focus on two recent developments: how to manage lease-term or model-year concentration risk and how to find affordable finance options for subprime or near-prime sector.

February 2016 Pdf Dr. Tony Hughes

Small Samples and the Overuse of Hypothesis Tests

With powerful computers and statistical packages, modelers can now run an enormous number of tests effortlessly. But should they? This article discusses how bank risk modelers should approach statistical testing when faced with tiny data sets.

December 2015 WebPage Dr. Tony Hughes

Do Banks Need Third-Party Models?

This article discusses the role of third-party data and analytics in the stress testing process. Beyond the simple argument that more eyes are better, we outline why some stress testing activities should definitely be conducted by third parties.

December 11, 2015 WebPage Dr. Douglas DwyerDr. Tony Hughes

Effective Risk Management in CRE Lending Webinar Presentation Slides

This webinar discusses the importance of effective credit risk management for commercial real estate lending.

August 2015 Pdf Sumit Grover, Christian Henkel

Effective Risk Management in CRE Lending

Commercial real estate (CRE) mortgages can often make up a significant part of the loan portfolio. To gain competitive advantage in the marketplace, lending officer's must acquire an in-depth understanding of their borrowers' CRE portfolios.

August 2015 WebPage Christian Henkel, Sumit Grover

Systemic Risk Monitor 1.0: A Network Approach

In this article, we introduce a new risk management tool focused on network connectivity between financial institutions.

Residual Car Values Forecasting Using AutoCycle™

In this paper we discuss our approach to forecasting residual car values that accounts for cyclical economic factors affecting the automotive industry, under normal and stressed scenarios.

July 2015 Pdf Dr. Tony Hughes

Forecasts and Stress Scenarios of Used-Car Prices

The market for new cars is growing strongly and lessors need forecasts and associated stress scenarios of future vehicle value to set the initial terms, to monitor the performance of their book and to stress-test cash flows. This presentation offers insight and tools to help lessors in this pursuit.

May 2015 Pdf Dr. Tony Hughes, Zhou Liu, Pedro Castro

Measuring Systemic Risk in the Southeast Asian Financial System

This article looks back at the Asian financial crisis of 1997-1998 and applies new methods of measuring systemic risk and pinpointing weaknesses, which can be used by today’s financial institutions and regulators.

Multicollinearity and Stress Testing

Multicollinearity, the phenomenon in which the regressors of a model are correlated with each other, apparently causes a lot of confusion among practitioners and users of stress testing models. This article seeks to dispel this confusion.

May 2015 WebPage Dr. Tony Hughes, Brian Poi

What if PPNR Research Proves Fruitless?

This article addresses how banks should look to sources of high-quality, industry-level data to ensure that their PPNR modeling is not only reliable and effective, but also better informs their risk management decisions.

May 2015 WebPage Dr. Tony Hughes

Vehicle Equity and Long-Term Car Loans

In this article, we consider the increasing prevalence of long term loans and use the AutoCycle™ wholesale price forecasts to uncover equity held by the borrower under different economic scenarios.

April 2015 Pdf Dr. Tony Hughes

Putting Systemic Stress into the Stress-Testing System

In this article, banks can significantly improve the effectiveness of their stress-testing exercises by incorporating systemic risk measures.

March 2015 Pdf Dr. Tony Hughes

Private Firm C&I Credit Risk Solutions & Best Practices

This webinar discusses credit risk management challenges, best practices, stress testing model and approach and private firm C&I risk tools.

June 2014 WebPage Mehna Raissi, Christian Henkel

CRE Credit Risk Solutions and Best Practices Webinar Slides

Moody's Analytics CRE credit risk experts, Christian Henkel and Sumit Grover, discuss the topics including an overview of CRE credit risk management challenges, data management and credit risk solutions that address the needs of CRE risk managers, and CRE stress testing model and approach.

June 2014 Pdf Sumit Grover, Christian Henkel

CRE Credit Risk Solutions and Best Practices

Moody’s Analytics CRE credit risk experts, Christian Henkel and Sumit Grover, discuss the topics including an overview of CRE credit risk management challenges, data management and credit risk solutions that address the needs of CRE risk managers, and CRE stress testing model and approach.

June 2014 WebPage Sumit Grover, Christian Henkel

Modeling the Entire Balance Sheet of a Bank

This article explores the interaction between a bank’s various models and how they may be built into a comprehensive stress testing framework, contributing to the overall performance of a bank.

November 2013 WebPage Dr. Tony Hughes

Is Now the Time for Tough Stress Tests?

The banking industry needs a regulatory framework that is carefully designed to maximize economic outcomes, both in terms of stability and growth, rather than one dictated by past banking sector excesses.

November 2013 WebPage Dr. Tony Hughes

ALLL and the New Estimate

This presentation gives an update on the proposed impairment model and improving the measurement of credit losses.

October 2013 Pdf Christian Henkel, Mich Araten

Establishing Best Practices for Stress Testing your Private Company C&I Portfolios

Learn about stress testing best practices and our RiskCalc™ Plus United States Stress Testing Models. This webinar focuses on stress testing best practices for the private company C&I asset class.

July 2013 Pdf Dr. Douglas Dwyer, Mehna Raissi, Christian Henkel

Establishing Best Practices for Stress Testing your Private Company C&I Portfolios

This webinar provides an overview on the following of the regulatory environment, stress testing challenges and best practices for a sound stress testing framework and the Moody’s Analytics RiskCalc Plus.

July 2013 WebPage Christian Henkel

Stressed EDF Credit Measures for Western Europe

In this paper we describe the modeling methodology behind Moody's Analytics Stressed EDF measures for Western Europe. Stressed EDF measures are one-year, default probabilities conditioned on holistic economic scenarios developed in a large-scale,structural macroeconometric model framework.

October 2012 Pdf Danielle Ferry, Dr. Tony Hughes, Min Ding

Stressed EDF™ Credit Measures for North America

In this paper we describe the modeling methodology behind Moody's Analytics Stressed EDF measures. Stressed EDF measures are one-year, default probabilities conditioned on holistic economic scenarios developed in a large-scale, structural macroeconometric model framework. This approach has several advantages over other methods, especially in the context of stress testing. Stress tests or scenario analyses based on macroeconomic drivers lend themselves to highly intuitive interpretation accessible to wide audiences – investors, economists, regulators, the general public, to name a few.

May 2012 Pdf Danielle Ferry, Dr. Tony Hughes, Min Ding

The Moody's CreditCycle Approach to Loan Loss Modeling

This whitepaper goes in-depth into the Moody's CreditCycle approach to loan loss modeling.

Stress Testing and Strategic Planning Using Peer Analysis

Banks face the difficult task of building hundreds of forecasting models that disentangle macroeconomic effects from bank-specific decisions. We propose an approach based on consistently reported industry data that simplifies the modeler’s task and at the same time increases forecast accuracy.

WebPage Dr. Tony Hughes, Brian Poi

Previewing This Year's Stress Tests Using the Bank Call Report Forecasts

Risk modelers at banks often feel pressure to produce conservative, as opposed to strictly accurate, forecasts of a bank’s resilience in times of stress. Regulators typically frown on capital plans that have even the barest whiff of optimism[1].

WebPage Dr. Tony Hughes, Brian Poi

How Banks and Credit Unions Can Prepare for CECL Implementation

In this short video, learn the four key steps institutions should take to prepare for CECL implementation.