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Current Expected Credit Loss
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Delivering Solutions WorldwideMoody's Analytics Risk Perspectives
- Managing Disruption
- The Convergence of Risk, Finance, and Accounting: CECL
- The Convergence of Risk, Finance, and Accounting: IFRS 9
- Risk Management: The Decade Ahead
- Risk Data Management
- Integrated Risk Management
- Managing Insurance Risk
- Stress Testing - North American Edition
- Stress Testing - European Edition
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Risk Perspectives: Managing Disruption
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Meet Our Leading Experts
Dr. Juan Manuel Licari, Chief International Economist
Chief International Economist
Dynamic Model-Building: A Proposed Variable Selection Algorithm
In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.
U.K. Residential Mortgages Risk Weights: PRA Consultation Paper CP29/16
This paper presents best practices for addressing PRA Consultation Paper CP29/16.
Probability-Weighted Outcomes Under IFRS 9: A Macroeconomic Approach
In this article, we discuss development of a framework that addresses the forward-looking and probability-weighted aspects of IFRS 9 impairment calculation using macroeconomic forecasts. In it, we address questions around the practical use of alternative scenarios and their probabilities.
Complying with IFRS 9 Impairment Calculations for Retail Portfolios
This article discusses how to address the specific challenges that IFRS 9 poses for retail portfolios, including incorporating forward-looking information into impairment models, recognizing significant increases in credit risks, and determining the length of an instrument's lifetime.
Advanced Estimation and Simulation Methods for Retail Credit Portfolios: Frequentist vs. Bayesian Techniques
In this article, we compare the results of estimating retail portfolio risk parameters (e.g., PDs, EADs, LGDs) and simulating portfolio default losses using traditional – frequentist – methods versus Bayesian techniques.
Multi-Period Credit Risk Analysis: A Macro-Scenario Approach Presentation Slides
In this presentation, Dr. Juan Licari of Moody's Analytics will present an innovative framework for stochastic scenario generation that allows risk managers and economists to build multi-period environments, integrating conditional credit and market risk modeling to meet dynamic stress testing needs.
