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    Dr. Amnon Levy

    Dr. Amnon Levy heads the group responsible for research development and quantitative services related to Moody’s Analytics portfolio and balance sheet solutions.

    Amnon has 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. Prior to joining Moody’s Analytics, he 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 has also taught corporate finance at the Kellogg School of Management, Northwestern University, and worked at the Board of Governors of the Federal Reserve System. He is currently teaching a course on credit risk in the Haas School of Business MFE program.

    Amnon has been published in the Journal of Financial Economics, the Journal of Monetary Economics, the Encyclopedia of Quantitative Finance, the Journal of Banking and Finance, and the Journal of Risk Model Validation. His current research interests include the impact of credit in ALM, and unifying the management of regulatory capital, economic risks, and the impact of accounting rules.

    Published Work
    Whitepaper

    Earnings Volatility, Share Price Performance, and Credit Portfolio Management Under CECL and IFRS 9

    This paper studies how earnings volatility induced by credit risk can impact share price performance for financial institutions under CECL and IFRS 9, and quantifies the benefit of an active credit risk management practice.

    April 2019
    Webinar-on-Demand

    Moody's Analytics Webinar: Credit Earnings Volatility and Share Price Performance: Implications of IFRS 9 and CECL

    The new accounting standards can have material implications for allowance and earnings dynamics. Join our researchers, Amnon Levy and Pierre Xu, explore a large sample of banks to better understand channels by which the standards affect shareholder value.

    February 2019
    Whitepaper

    A Composite Capital Measure Unifying Business Decision Rules in the Face of Regulatory Requirements Under New Accounting Standards

    This paper introduces an approach that quantifies the additional capital buffer an institution requires, beyond the required regulatory minimum, to limit the likelihood of a capital breach.

    May 2018
    Whitepaper

    Measuring and Managing the Impact of IFRS 9 and CECL Requirements on Dynamics in Allowance, Earnings, and Bank Capital

    This paper explores how CECL and IFRS 9 might impact loss allowance, earnings, and capital dynamics, and how these dynamics might affect credit portfolio management.

    April 2018
    Whitepaper

    Economic Capital Model Validation: A Comparative Study

    Using a long history of public firm defaults from Moody's Investor Services and Moody's Analytics, this study illustrates a validation approach for jointly testing the impact of PD and correlation upon model performance. We construct predicted default distributions using a variety of PD and correlation inputs and examine how the predicted distribution compares with the realized distribution. The comparison is done by looking at the percentile of realized defaults with respect to the predicted default distribution. We compare the performance of two typical portfolio parameterizations: (1) a through-the-cycle style parameterization using agency ratings-based long-term average default rates and Basel II correlations; and (2) a point-in-time style parameterization using public EDF credit measure, and Moody's Analytics Global Correlation Model (GCorr™). Results demonstrate that a through-the-cycle style parameterization results in a less conservative view of economic capital and substantial serial correlation in capital estimates. Results also show that when point-in-time measures are used, the tested economic capital model produces consistent and conservative economic capital estimates over time. A version of this paper appears in the Journal of Risk Model Validation, March 2013.

    February 2018
    Interview

    Regulatory Constraints: How Increased Requirements Are Evolving CPM

    Amnon Levy, managing director and head of portfolio and balance sheet research at Moody's Analytics, discusses the evolving expectations of institutions for credit portfolio management, as well as how it is being altered and adapted amid greater impact from new regulatory and technological advancements.

    February 2018