Moody's Analytics Insights
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
We show the importance of integrating granular credit and market risks for various portfolio analytics: risk decomposition, risk contribution, and VaR. Granular risk-integrated analysis shows how different the interaction between risks can be across assets and sub-portfolios, resulting in material impact to asset selection.
Moody's Analytics is a Category Leader in a new report from Chartis Research. “ALM Technology Systems, 2021: Market and Vendor Landscape” evaluates more than 20 vendors of asset and liability management (ALM) technology systems.
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
Join Doug Johnson from Moody's Analytics and Mike Pearson from Zaner Group as they discuss the ag commodity outlook for 2021. Hear where there is potential in the market and how to take action.
Following the recessions of 1990-1991, 2001, and 2008-2009, the U.S. high-yield default rate peaked at June 1991's 12.3%, January 2002's 11.1%, and November 2009's 14.7%.
This paper uses cashflow matching to show the importance of granular credit modeling in the efficacy of liability-driven investment strategies. We find the optimal rating choice to minimize the strategy's total cost, including cash reserve, and show that industry choice has a material impact on this cost.
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
This report summarizes the credit condition for APAC corporate firms until end of January 2021, by analyzing the CreditEdge™ EDF measure as well as other market-based metrics.
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.
After a soft end to 2020 and a difficult start in 2021, the global economic recovery is projected to gain momentum in the coming year supported by the coronavirus vaccine rollout.
BoE has set out a three-phased plan to transform data collection from the UK financial sector over the next decade.