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    Moody's Analytics 2015 Articles

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    Credit Risk Management Under Regulatory Capital Constraints

    This article outlines recent approaches to managing credit risk when facing regulatory capital requirements. We explore how institutions should best allocate capital and make economically-optimized investment decisions under regulatory capital constraints, such as those imposed by Basel or CCAR-style rules.

    December 2015 WebPage Dr. Amnon Levy, Pierre Xu, Dr. Jing Zhang

    Using a Risk Appetite Framework to Align Strategy and Risk

    In this article, we provide an overview of some common problems organizations face and introduce a solution to develop an integrated, transparent, measurable, and actionable Risk Appetite Framework.

    December 2015 WebPage Anna Krayn, Ed Young

    Data Visualization in Credit Risk Management: A Snapshot

    In order to thrive in today's competitive environment, financial institutions are adapting to rapidly changing business demands and regulatory requirements and finding new ways to transform their data into business insights and opportunities. Data visualization is an emerging trend in credit risk management.

    December 2015 WebPage Mehna Raissi, Grace Wang

    Highlights from 2015 RPC and a Look Toward Next Year

    In this Q&A, we recap the main themes from the 2015 Moody's Analytics Risk Practitioner Conference, and look forward to what we expect next year.

    December 2015 WebPage

    Advanced Estimation and Simulation Methods for Retail Credit Portfolios: Frequentist vs. Bayesian Techniques

    In this article, we compare the results of estimating retail portfolio risk parameters (e.g., PDs, EADs, LGDs) and simulating portfolio default losses using traditional – frequentist – methods versus Bayesian techniques.

    December 2015 WebPage Dr. Juan M. Licari, Dr. Gustavo Ordóñez-Sanz, Chiara Ventura

    Global Banking Regulatory Radar

    The Moody's Analytics Regulatory Radar provides an overview of the main regulatory guidelines affecting the banking industry. It is a proprietary tool developed to monitor regulations in the immediate, medium, and long term, across multiple jurisdictions.

    December 2015 WebPage María C. Cañamero

    Small Samples and the Overuse of Hypothesis Tests

    With powerful computers and statistical packages, modelers can now run an enormous number of tests effortlessly. But should they? This article discusses how bank risk modelers should approach statistical testing when faced with tiny data sets.

    December 2015 WebPage Dr. Tony Hughes

    The Emergence of a New Banking Model

    Banks should prepare for a new business ecosystem driven by the financial technology (FinTech) revolution. Learn how the industry can adapt to disruptions.

    December 2015 WebPage Andy Frepp, Cayetano Gea-Carrasco

    Improving Risk Governance Frameworks to Adapt to the New Banking Environment

    The banking industry will be affected by significant structural changes and required to implement risk governance reforms to keep up with complex regulations and macroeconomic and financial conditions. This article provides best practices for how banks can thrive in this future operating environment.

    December 2015 WebPage Yuji Mizuno

    Five Challenges for the Business-Model “Bank”

    Banks and the services they offer remain essential to global economies.To stay relevant, however, banks need to adjust their business models and adapt to the new realities – tighter regulation, lower interest rates, changing client needs and behavior, technology disruption, and accelerating disintermediation.

    December 2015 WebPage Dr. Christian Thun

    A New Advice and Distribution Paradigm in Financial Services

    The way insurance and investment products are distributed and managed in the future will undoubtedly change, but firms can benefit from the new paradigm. This article addresses how financial institutions can remain competitive by delivering intuitive customer journeys at a low cost using the latest technology.

    December 2015 WebPage Philip Allen, Brian Heale

    Crafting a Successful Risk Management Culture

    This article addresses the two interdependent needs of effective integrated risk training and measuring optimal risk management to make recommendations for how to train and track behavior.

    December 2015 WebPage Kevin Hadlock

    Valuation of Corporate Loans: A Credit Migration Approach

    This paper presents Moody's Analytics methodology for valuing corporate loans using RiskFrontier™, taking into account both embedded options and credit state contingent cash flows.

    December 2015 WebPage Sunny Kanugo, Tiago Pinheiro, Dr. Yashan Wang

    Getting Human Data Right: The Hidden Advantage

    With their focus on profit margins, data and risk management, and compliance with an increasing number of regulations, financial institutions often pay insufficient attention to the human side of their operations. This article addresses that deficiency and explains the sea change taking place in how risk professionals acquire “human data” – the quantifiable ability of employees to do their jobs well.

    July 2015 Pdf Kevin Hadlock

    The Benefits of Modernizing the Commercial Credit Decisioning Process

    This article explains the benefits of an online decision system to deliver higher returns on risk while making regulatory compliance easier and cheaper.

    July 2015 Pdf Buck Rumely

    Effect of Credit Deterioration on Regulatory Capital Risk Weights for Structured Finance Securities

    This article aims to illustrate the general impact of credit deterioration on regulatory capital risk weights in a large dataset of multiple structured finance asset classes.

    July 2015 Pdf Peter Sallerson, Vivek Thadani

    Integrated Risk Management

    Welcome to the fourth edition of Risk Perspectives, a Moody's Analytics publication created for risk professionals, with the goal of delivering essential insight into the global financial markets.

    May 2015 WebPage

    Effect of Credit Deterioration on Regulatory Capital Risk Weights for Structured Finance Securities

    This article aims to illustrate the general impact of credit deterioration on regulatory capital risk weights in a large dataset of multiple structured finance asset classes. For investors and risk managers, any asset class-specific trends can help in the investment evaluation process.

    May 2015 WebPage Vivek Thadani, Peter Sallerson

    Finding Alpha: Seeking Added Value from Stress Testing

    How can banks measure the success of their stress testing efforts? This article explores where banks can look for the “alpha” in stress testing – that is, how they can measure the performance of their stress testing programs, identify weaknesses, and make the process more efficient and effective.

    May 2015 WebPage Mark McKenna, Greg Clemens

    Enhanced Data Management: A Key Competitive Advantage for Japanese Banks

    As mass amounts of data meet ever-increasing regulation in the world of finance, sophisticated data management has never been more important. How a bank handles this complex problem will make or break its position as a global player.

    May 2015 WebPage Yuji Mizuno

    Measuring Systemic Risk in the Southeast Asian Financial System

    This article looks back at the Asian financial crisis of 1997-1998 and applies new methods of measuring systemic risk and pinpointing weaknesses, which can be used by today's financial institutions and regulators.

    May 2015 WebPage David Hamilton, Dr. Tony Hughes, Dr. Samuel W. Malone

    Multi-Period Stochastic Scenario Generation

    Robust models are currently being developed worldwide to meet the demands of dynamic stress testing. This article describes how to build consistent projections for standard credit risk metrics and mark-to-market parameters simultaneously within a single, unified environment.

    May 2015 WebPage Dr. Juan M. Licari, Dr. Gustavo Ordóñez-Sanz

    Stress Testing Solution Process Flow: Five Key Areas

    Most banks are able to stand up to quantitative stress testing and even prove their capital adequacy. But many organizations lack a streamlined process that allows them to run stress tests with ease and control. This article outlines a five-step process that will help banks maximize their stress testing investment.

    May 2015 WebPage Greg Clemens, Mark McKenna

    Multicollinearity and Stress Testing

    Multicollinearity, the phenomenon in which the regressors of a model are correlated with each other, apparently causes a lot of confusion among practitioners and users of stress testing models. This article seeks to dispel this confusion.

    May 2015 WebPage Dr. Tony Hughes, Brian Poi

    Modeling Techniques in Scenario-Based Risk Appetite Management

    To get senior stakeholders to buy in to alternative macroeconomic scenarios, risk management and ALM teams must assemble risk models and risk-adjusted performance measurements in their simulation tools. Institutions must switch from a qualitative to a quantitative approach to analysis.

    May 2015 WebPage Pierre Gaudin

    The Benefits of Modernizing the Commercial Credit Decisioning Process

    Regulators and auditors expect banks' data submissions to be more detailed than ever before. This article explains the benefits of an online decision system to deliver higher returns on risk while making regulatory compliance easier and cheaper.

    May 2015 WebPage Buck Rumely

    IFRS 9 Will Significantly Impact Banks' Provisions and Financial Statements

    International Financial Reporting Standard 9 (IFRS 9) will soon replace International Accounting Standard 39 (IAS 39). The change will materially influence banks' financial statements, with impairment calculations affected most.

    May 2015 WebPage Cayetano Gea-Carrasco

    What if PPNR Research Proves Fruitless?

    This article addresses how banks should look to sources of high-quality, industry-level data to ensure that their PPNR modeling is not only reliable and effective, but also better informs their risk management decisions.

    May 2015 WebPage Dr. Tony Hughes

    Implementing the IFRS 9's Expected Loss Impairment Model: Challenges and Opportunities

    In this article, we focus on the impairment aspect of the IFRS 9 standard, and how banks should now calculate credit losses to comply with the new IFRS 9 rules by 2018.

    May 2015 WebPage Eric Leman

    Regulatory Big Data: Regulator Goals and Global Initiatives

    Big data isn't just for Silicon Valley. This article discusses the trend of large data set capture and analysis by regulators, referred to here as “regulatory big data,” by detailing the motivations and goals of regulators.

    May 2015 WebPage Michael van Steen
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