Senior Director, Consumer Credit Analytics
Cristian is a senior director who develops credit models for a variety of asset classes. His regular analysis and commentary on consumer credit, housing, mortgage markets, securitization, and financial regulatory reform appear on Economy.com and in publications such as The Wall Street Journal and The New York Times. Cristian has a PhD in economics from Johns Hopkins University and is named on two US patents for credit modeling techniques.
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 present the theoretical motivation behind these weights and suggests reasonable ways of choosing these weights in practice.
In this paper, we provide empirical support for the conclusion that the CECL standard will be less procyclical than the incurred loss standard.
An open dialogue around economic forecasting techniques for calculating life-of-loan expected credit losses.
With the CECL guidelines on mean reversion open to multiple interpretations, our paper discusses some approaches institutions can take for reversion beyond the reasonable and supportable horizon.
In this study, we address these shortcomings by utilizing data that track loan volume and performance to ascertain CECL's cyclical impact.
In this paper, we discuss some of the options that institutions have for incorporating economic forecasts into their expected loan loss reserve calculations. We discuss the benefits and costs of each approach and provide practical recommendations based on institution size and complexity.
This presentation discusses the CECL requirement of reasonable and supportable forecasts. We discuss what makes an economic scenario reasonable and supportable and discusses structural forecast model methodology. We also compare customized, standard and off-the-shelf scenarios and examine forecasting credit losses.
In this webinar, Mark Zandi and our team of economists use the Moody’s Analytics Global Macroeconomic Model to assess the impact of various trade scenarios.