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Sohini Chowdhury is a Director and Senior Economist with Moody’s Analytics, specializing in macroeconomic modeling and forecasting, scenario design, and market risk research, with a special focus on stress testing and CECL applications. Previously, she led the global team responsible for the Moody’s Analytics market risk forecasts and modeling services while managing custom scenarios projects for major financial institutions worldwide.

An experienced speaker, Sohini often presents at client meetings and industry conferences on macroeconomic models, scenarios and CECL solutions. Sohini holds a PhD and a master’s degree in economics from Purdue University, and a master’s degree in applied statistics from West Chester University in Pennsylvania.

Related Insights
Article

Mean Reversion in CECL: The What and the How

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.

September 2018 WebPage Dr. Sohini Chowdhury, Dr. Cristian deRitis
Article

To Follow the Pack or Not: CECL Based on the Consensus

One of the key differentiators between the upcoming Current Expected Credit Loss and the current incurred loss accounting process is the formal incorporation of forward-looking forecast information.

September 2018 WebPage Dr. Sohini Chowdhury
Article

Beyond Theory: A Practical Guide to Using Economic Forecasts for CECL Estimates

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.

August 2018 Pdf Dr. Sohini Chowdhury, Dr. Cristian deRitis
Whitepaper

Beyond Theory: A Practical Guide to Using Economic Forecasts for CECL Estimates

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, and incorporate macroeconomic forecasts formally into their loss allowance estimates for the first time.

August 2018 WebPage Dr. Sohini Chowdhury, Dr. Cristian deRitis
Presentation

Incorporating Economic Forecasts into CECL

CECL will require institutions to incorporate macroeconomic forecasts formally into their loss allowance estimates for the first time. There are a number of ways in which this can be achieved as the CECL guidelines don't specify any one particular approach. In this presentation, 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. We also show a simple solution for calculating the lifetime expected losses for consumer loans for different products.

July 2018 Pdf Dr. Sohini Chowdhury
Article

Modeling and Forecasting Interest Rate Swap Spreads

In this article, we model and forecast the term structure of swap spreads across a range of currencies using a principle component decomposition.

October 2017 WebPage Dr. Sohini Chowdhury, Dr. Martin A. Wurm
Presentation

Potential Bumps Ahead for US Financial Markets

How US policymakers respond to pressing fiscal challenges could have major implications for financial market conditions. These challenges, coupled with the debate surrounding the Fed's balance sheet and geopolitical issues, are of concern for those with exposure to market risk.

May 2017 Pdf Ryan Sweet, Dr. Sohini Chowdhury
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