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Global Macroeconomic Model and Scenario Studio

In this webinar, Mark Zandi and the Moody's Analytics team discuss recent changes to our Global Macroeconomic Model, and provide an overview of Scenario Studio, our new platform for custom scenario development. Learn more:

June 2018 WebPage Mark Zandi, Mark Hopkins

The Venezuela Crisis and Consequences for South America

This paper assesses the economic consequences for Venezuela and the rest of South America if Maduro serves out his new presidential term, and if he is cast from office.

June 2018 Pdf Marisa DiNatale

Asia Deep Downturn Scenario Narrative

Asia Deep Downturn Scenario Narrative

April 2018 Pdf Moody's Analytics

President Trump's Tariffs – Assessing the Impact of Various Trade Scenarios

In this webinar, Mark Zandi and our team of economists use the Moody's Analytics Global Macroeconomic Model to assess the impact of various trade scenarios.

April 2018 WebPage Mark Zandi, Dr. Cristian deRitis, Marisa DiNatale

Economic Consequences of Republican Tax Legislation

In this webinar, we assess the implications of the imminent change, with a focus on who benefits most and who is likely to be hurt. The discussion entails a look at both the national effects and the regional implications.

December 2017 WebPage Chris Lafakis, Adam Kamins, Dan White, Mark Zandi

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.


Stressed Realized LGDs: Forecasting Recovery Rates under Alternative Macroeconomic Scenarios

This article proposes a method of modeling realized losses given default (LGDs) as a function of macroeconomic drivers for stress testing purposes.


Subprime Auto Credit: Navigating Risks on the Horizon

Auto lending is following a natural and expected credit cycle. Subprime performance will get better as credit tightens. Nonbank auto financiers are facing the highest loss rates when lending to low-income, subprime borrowers. Residual value pressures should begin to abate but will likely increase for trucks and SUVs.

August 2017 WebPage Michael Vogan

Forecasting Income & Balance Sheet Projections for Compliance

Regulators are placing increased emphasis on the rigor by which banks model their income and balance sheet projections.

July 2017 WebPage Brian Poi

When Good Data Happen to Good People: Boosting Productivity with High-Quality Data

In this article, we show the mechanisms through which data quality and productivity interact, and how investments in data quality can offer productivity gains.


When Good Data Happen to Good People: Boosting Productivity with High-Quality Data

With ever-increasing requirements for a higher quantity and quality of analytical output, the need to boost productivity in risk management has become more acute. In pursuing these productivity gains, we have observed that investments in data quality can offer dramatic improvements and typically pay for themselves.


Macro Outlook: Good (But Risky) Times

In this presentation, Mark Zandi presents his outlook for the global economy.

May 2017 WebPage Mark Zandi

Economic Forecasting & Stress Testing Residual Vehicle Values

To effectively manage risk in your auto portfolios, you need to account for future economic conditions. Relying on models that do not fully account for cyclical economic factors and include subjective overlay, may produce inaccurate, inconsistent or biased estimates of residual values.

December 2016 WebPage Dr. Tony Hughes

Stressed Scenarios and Linkages to Market Risk Instruments

This paper demonstrates a two-step methodology for forecasting and stress-testing market risk instruments with explicit links to stressed macro scenarios.

January 2016 Pdf

Stress Testing Used-Car Prices

In this presentation we presented a quantitative methodology for incorporating economic factors into car price forecasts.

August 2015 WebPage Dr. Tony Hughes, Michael Vogan

Multi-Period Stochastic Scenario Generation

This article describes how to build consistent projections for standard credit risk metrics and mark-to-market parameters simultaneously within a single, unified environment: stochastic dynamic macro models.

June 2015 Pdf Dr. Gustavo Ordóñez-Sanz

Modelling and Stressing the Interest Rates Swap Curve

We present a two-step modelling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. Our methodology is able to replicate two important features of the data: the dynamics of the spread across maturities and the alignment of the key swap rates tenor points to their corresponding government yields. Modern models of the term structure of interest rates typically fail to reproduce these and are not designed for stress testing purposes. We present results for the euro, the U.S. dollar, and British pound swap curves.

September 2013 Pdf Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Dr. José Suárez-Lledó

Moody's CreditCycle - Reverse Stress Testing Capabilities

Download this article to understand how Moody's CreditCycle can be used to carry out macroeconomic stress testing.

November 2012 Pdf Barnaby Black, Dr. José Suárez-Lledó

Are $10 Billion-to-$50 Billion Banks Overregulated?

Moody's Analytics tests whether relaxing capital standards for $10 billion-to-$50 billion banks will boost banking and encourage greater lending.

Scenario Studio

Scenario Production Tool Backed by Rigorous Forecast Governance

Pdf Moody's Analytics

CECL Solver for Moody's CreditCycle™

CECL Solver for Moody's CreditCycle solution enables users to generate forecasts of lifetime losses through custom econometric models under the CECL standard for “reasonable and supportable” economic scenarios

WebPage Dr. Deniz Tudor
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