Pierre Xu and his Portfolio Risk Analytics team design and implement credit portfolio and capital management solutions across a range of global financial institutions. They have pioneered approaches to managing portfolio risk in the face of a constraining regulatory environment. His team’s recent focus is on constrained credit portfolio optimization, quantification of risk appetite in risk-based limits, and portfolio design under CECL and IFRS 9.
Portfolio Optimization: Quantify diversification benefits across portfolios and define risk types that inform risk management and active asset allocation decisions.
Economic Capital : Moody’s Analytics insurance economic capital solution provides critical insights that help evaluate solvency positions and risk-based decision making.
Regulatory Capital : Moody’s Analytics insurance regulatory capital solutions help insurers comply with Solvency II and other similar regulatory regimes.
Portfolio Models: Models that enable portfolio managers to assess and optimize portfolio risk.
Regulatory Capital: Amount of capital financial institutions must hold as required by financial regulators.
Loss Accounting: CECL: New credit loss accounting standard that replaces the current ALLL accounting standard.