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Predicting Earnings: CECL's Implications for Allowance Forecasts

The new CECL and IFRS 9 accounting standards will require financial institutions to adjust loss allowances based on forward-looking expectations and calculate lifetime losses. In this article, we demonstrate the effect of the new allowance framework by quantifying allowances and credit earnings volatility for a sample portfolio. Our case study finds that along with a shift in the level of allowance, portfolio dynamics and concentrations play an increasingly important role in understanding and communicating expected performance and earnings.

June 2017 Pdf

Implementing Interest Rate Risk in the Banking Book (IRRBB)

In March 2017, Moody's Analytics, together with Asia Risk and Risk.net, held a webinar, “Interest Rate Risk in the Banking Book: a Practical Guide to Compliance.” The webinar was attended by 285 industry professionals, and this infographic shows the polling results from the audience.

May 2017 Pdf Karina Beeckmans

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.

October 2016 Pdf Dr. Amnon Levy, Burcu Guner

DFAST Quick Takes: Looking Toward CCAR Results

The Fed's Comprehensive Capital Planning and Review (CCAR) continues to be a barometer for capital adequacy of large banks in the US. With the results of the 2016 DFAST now in the books, we look at factors that will impact the Fed's CCAR decisions next week and the challenges that firms will face in the future.

June 2016 Pdf

IFRS 9 Survey Results

This article is a summary of the views expressed by regional banking institutions in a recent survey about IFRS 9 regulation. The survey was conducted to assess progress, potential challenges, and plans of banks with regards to IFRS 9 compliance.

June 2016 WebPage María C. Cañamero, Michael McDonald, Yagmur Uenal

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 Henkel, Emil Lopez

Reading the Tea Leaves of Recent Regulatory Guidance

December 2015 was a busy month for regulatory agencies and global standard setters. Throughout the year the industry has been waiting for additional guidance on high impact topics including capital planning and allowance methodologies, and in the final stretch of 2015 both the Federal Reserve and the Basel Committee on Banking Supervision (BCBS) complied. This paper will primarily focus on common themes in the two releases.

January 2016 Pdf Anna Krayn, Ed Young, David Little

Effect of Credit Deterioration on Regulatory Capital Risk Weights for Structured Finance Securities

This article aims to illustrate the general impact of credit deterioration on regulatory capital risk weights in a large dataset of multiple structured finance asset classes.

July 2015 Pdf Peter Sallerson, Vivek Thadani

ERM: The Critical Importance of Data

Ask the senior management of a bank what they regard as the most important aspect of Enterprise Risk Management (‘ERM') and the chances are they will tell you it is the ability to have a holistic view of the risks being run by the organization. Their perspective is typically a top-down view and seldom do they think of it in terms of the core bottom-up enabler for ERM data. Why? Because data is a given and we live with what is available.

August 2014 Pdf Charles Stewart

Moody's Analytics Risk Perspectives | Stress Testing: North American Edition

Welcome to the second edition of Risk Perspectives, a Moody's Analytics publication created for risk-aware professionals.

November 2013 Pdf

Moody's Analytics Risk Perspectives | Stress Testing: European Edition

Welcome to the second edition of Risk Perspectives™, a Moody's Analytics publication created for risk-aware professionals.

September 2013 Pdf

Common Pitfalls and Challenges in Stress Testing of Banks

This article discusses the challenges and pitfalls associated with embedding a stress testing framework that complies with risk management practices under the new Basel III regulatory guidelines. It also helps to establish internal frameworks that meet the risk appetite of an organisation and lead to a critical review of its current risk profile.

December 2012 Pdf Dr. Christian Thun

The Challenges and Opportunities of Implementing Basel III

As banks get to grips with the business and financial implications of Basel III, the next step for many is to understand how they can develop their banking infrastructure to implement the regulations. Pierre-Etienne Chabanel, Senior Director, Moody's Analytics, outlines the challenges and opportunities.

September 2012 Pdf Pierre-Etienne Chabanel

A Macro-finance View on Stress Testing

For most financial practitioners, stress-testing is a “must-do” activity, even if it is not a regulatory requirement. Such stress-testing encompasses a wide range of sophisticated and quantitative exercises, including assessments of market, credit and liquidity risks. This article discusses several approaches and outlines a foundation for a robust and consistent stress-testing framework.

May 2012 Pdf Andrea Appeddu, Dr. Juan M. Licari, Dr. José Suárez-Lledó

Best Practices in Stress Testing

Although the concept of stress testing has been around since the early 1990s, its use by regulators and bank management took on renewed urgency after the collapse of Lehman Bros in 2008. Moody's Analytics surveyed 42 financial institutions in Europe and analyzed the results to identify common patterns and practices and mapped the findings to a seven-step process to create a “Best Practice” perspective. This article provides observations based on Moody's Analytics Stress Testing report 2011, it has been published on Intelligent Risk in February 2012.

January 2012 Pdf Dr. Christian Thun
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