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Sohini Chowdhury is a director at Moody’s Analytics. She leads client projects related to stress testing and other regulatory requirements, and oversees the modeling of market risk instruments among the US staff. She has a PhD in economics from Purdue University, and a master’s in applied statistics from West Chester University. Before joining Moody’s, Sohini taught at the University of Cincinnati.

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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.

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Moody's Analytics Webinar: Briefing on the CCAR Scenarios

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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.

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