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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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SUBJECT MATTER EXPERTS
Meet Our Leading Experts
Dr. Olga Loiseau-Aslanidi
Director, Head of Consumer Credit Risk Modelling for APAC
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.
IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios
Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios.
IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios Presentation Slides
In this presentation, Dr. Olga Loiseau-Aslanidi and Alaistair Chan discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.
EBA Scenarios for the 2016 EU-wide Stress Test
The EBA has released its 2016 EU-wide Stress Test. This webinar dissects the scenarios, considers possible narratives driving them and their probability of occurring.
Modelling and Stressing the Interest Rates Swap Curve
We present a two-step modelling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. Our methodology is able to replicate two important features of the data: the dynamics of the spread across maturities and the alignment of the key swap rates tenor points to their corresponding government yields. Modern models of the term structure of interest rates typically fail to reproduce these and are not designed for stress testing purposes. We present results for the euro, the U.S. dollar, and British pound swap curves.
Modeling and Stressing the Interest Rates Swap Curve
This article presents a two-step modeling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. The results are shown for the euro, the US dollar, and British pound swap curves.
