Director – Economic Research
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.
We asked attendees of the 2018 Moody's Analytics Summit their thoughts on four key questions in preparation for the new standard.
An open dialogue around economic forecasting techniques for calculating life-of-loan expected credit losses.
With the CECL guidelines on mean reversion open to multiple interpretations, our paper discusses some approaches institutions can take for reversion beyond the reasonable and supportable horizon.
This paper compares and contrasts, through the CECL lens, the two baseline scenarios Moody's Analytics produces monthly: the Moody's Analytics baseline and the consensus baseline.
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.
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.
The Federal Reserve has released its scenarios for the 2018 CCAR stress test. Join Mark Zandi and the Moody’s Analytics team as they discuss the narratives behind the Fed’s scenarios under forecasts of more than 1,500 detailed economic variables.
In this article, we model and forecast the term structure of swap spreads across a range of currencies using a principle component decomposition.
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.