Alternative economic scenarios are invaluable for quantifying and managing forecast risk. In this article, we define these constant severity scenarios and the models used to estimate their probabilities.
President Trump has escalated the trade war with China, and nearly everyone has been wrong-footed by the move.
Starting in 2020, the Current Expected Credit Loss (CECL) accounting standard will require financial institutions to reserve for estimated lifetime losses on loans and leases as soon as they are originated. This presentation will provide analytical insight and practical recommendations to help lenders strategize and effectively prepare for the new rule.
The Federal Reserve have released its scenarios for the 2019 CCAR stress test. Listen as Mark Zandi and Cristian deRitis discuss the narratives behind the Fed's scenarios under forecasts of detailed economic variables.
In this paper, we provide empirical support for the conclusion that the CECL standard will be less procyclical than the incurred loss standard.
Mean reversion is an important facet of the upcoming Current Expected Credit Loss accounting standard. Under CECL, lenders will need to estimate, and set aside an allowance for, the expected lifetime loss for each loan they book at the time of origination.