Amnon Levy heads the team responsible for model development and quantitative services related to portfolio, balance sheet, and impairment solutions. His current research focuses on the impact of regulations, new accounting standards, and climate on credit valuation and portfolio management. Amnon’s interests also include credit modeling in asset liability management, and using artificial intelligence and machine learning in portfolio strategies.
Check out Amnon’s recent thought leadership:
Credit Economic Capital: Gain insights to manage credit risk, support regulatory compliance, and make active asset allocation decisions.
Portfolio Optimization: Quantify diversification benefits across portfolios and define risk types that inform risk management and active asset allocation decisions.
Stress Testing: Moody’s Analytics helps financial institutions develop collaborative, auditable, repeatable, and transparent stress testing programs to meet regulatory demands.
Portfolio Models: Models that enable portfolio managers to assess and optimize portfolio risk.
Asset Valuation: Process of determining the fair market or present value of assets using book values.
Stress Testing: Gauge of how certain stressors will affect a company, industry, or specific portfolio.
Credit Correlations: Measurement of whether risky assets are more likely to default together or separately.
Amnon has been published in the Journal of Financial Economics, Journal of Monetary Economics, Encyclopedia of Quantitative Finance, Journal of Banking and Finance, and the Journal of Risk Model Validation. He has also published chapters in CCAR and Beyond - Capital Assessment, Stress Testing and Applications; and The New Impairment Model Under IFRS 9 and CECL.
Amnon is co-editor of "Credit Risk Measurement and Management: Disruption and Evolution" published by Risk Books.