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Moody's Analytics Insights

Webinar-on-Demand

Meeting the Challenges of SCCL

The Federal Reserve finalized, in June 2018, the rule to prevent concentrations of risk between large banking organizations and their counterparties from undermining financial stability, known as Single Counterparty Credit Limit (SCCL).

November 2018
Olivier Brucker, Anders Rodenberg, Moun Seo

Presentation
The CreditLens platform

New Generation of Credit Decisioning

Banks need to adopt new technology for quicker decisioning without sacrificing any of the risk assessment and analysis. At Moody's Analytics, we're helping our clients meet this challenge by investing in the latest data trends and technology advancements and implementing them into our solutions.

May 2018
Nelson Almeida,  Dr. Jamie Stark

Webinar-on-Demand
Red pencil standing out from crowd of identical black pencils

New Generation of Credit Decisioning

Increasing demand for credit has opened up the marketplace to a host of new tech-savvy lending providers. To compete in this new landscape, banks are changing their approach to credit management in order to provide faster and more convenient service to their clients.

May 2018
Nelson Almeida,  Dr. Jamie Stark

Webinar-on-Demand
Ancient Greek iconic column with scrolling volutes

The Ever-Widening World of RegTech

In this webinar, view the observations that were put forward in a recent conversation with Andrew Bockelman, general manager of banking RegTech at Moody's Analytics.

November 2017
Andrew Bockelman

Whitepaper
Business man with calculator and laptop

FRTB Marginal Back-Allocation

This paper develops a method to back-allocate to individual positions the market risk capital requirement that a bank must satisfy under the revised standardized approach proposed by the Basel Committee. Our method assesses the contribution of single positions or sub-portfolios to the overall capital charge. One important feature of our method is that it provides insight on which positions, sub-portfolios, and risk factors drive the capital charge and which help mitigate it. A negative contribution indicates that a marginal increase in the position would lead to a decrease in the capital charge, and vice versa.

April 2017
Lorenzo Boldrini, Tiago Pinheiro

Whitepaper
Business man at desk calulcating

Proposed Capital Framework for Operational Risk

The Basel Committee on Banking Supervision (BCBS) published its second consultation on the capital measurement for operational risk in March 2016. This whitepaper gives a thorough overview of the BCBS's consultation and the quantitative impact study (QIS) on the proposals set out in this consultation. The results of this study and comments received are expected to be used as inputs to the final design and calibration of the operational risk framework.

March 2017

Whitepaper
Hierarchy of approaches in the revised framework

Capital calculations under the revised securitasation framework - whitepaper

The Basel Committee on Banking Supervision issued the final Basel III securitization framework in July 2016, incorporating the alternative capital treatment for simple, transparent, and comparable (STC) securitizations. This framework comes into effect in January 2018. This paper reviews the prescribed hierarchy of approaches, and looks at the potential overall impact of the framework on banks.

January 2017

Newsletter
Image of business person's hand on desk with justic scales

Banking Regulatory Insight Newsletter – November 2016

Coverage this month includes , the Financial Stability Board (FSB) agreed its 2017 work plan. The European Banking Authority (EBA) report with qualitative and quantitative observations of its first impact assessment of the International Financial Reporting Standard (IFRS) 9, accounting for financial instruments, standard. The European Commission (EC) presented a comprehensive package of reforms aimed at further strengthening the resilience of European Union (EU) banks. The United States (US) Government Accounting Office (GAO) issued a report detailing additional actions which could help the Federal Reserve achieve its stress testing goals. The Hong Kong Monetary Authority (HKMA) issued a consultation on the local implementation of the Net Stable Funding Ratio (NSFR).

November 2016
Michael van Steen

Newsletter
US Securities and Exchange Commission plaque Washington DC

Banking Regulatory Insight Newsletter – October 2016

Coverage this month includes the BCBS's consultative document and discussion paper on Basel III; the EBA's final guidelines on implicit support for securitization transactions; the SEC's adopted rules for open-ended, mutual, and exchange traded funds; and more.

October 2016

Webinar-on-Demand
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Quantitative Research Webinar Series: Measuring Required Economic Capital and Parameterizing the Loss Reference Point

Mark Wells, Associate Director of Portfolio Research at Moody's Analytics, outlines how the parameterization of an Economic Capital model differs for accrual and securities portfolios and relates the parameterization approaches with those associated with Basel Advanced-IRB calculations.

October 2016
Mark Wells