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    Moody's Analytics Insights

    Moody's Analytics Insights

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    Modeling Stressed LGDs for Macroeconomic Scenarios

    In this article, we model stressed LGDs as a function of macroeconomic drivers and find that LGDs sometimes lead PDs by several months during crisis periods.

    Whitepaper
    New Origination Indices for All Loans

    What Do 20 Million C&I Loan Observations Say about New Origination Dynamics? — Insights from Moody's Analytics CRD Data

    We construct and examine new origination of C&I loans to middle-market borrowers using the Loan Accounting System data extracted from Moody's Analytics Credit Research Database (CRD/LAS). We find that C&I loan origination declines during the Great Recession and recovers soon after. The magnitude of the decline and the speed of the recovery varies across segments. For example, new lending to the financial industry decreases more than to the non-financial industry during the recession and recovers faster afterwards. Another example, new originations during the recession consists predominantly of short-term loans, while long-term lending becomes more dominant post crisis. This finding suggests that banks are using loan tenor as a means to mitigate risk during crises, at times even more so than credit quality.

    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.

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    Chart 1: US EDF measures

    Systemic Risk Monitor 1.0: A Network Approach

    In this article, we introduce a new risk management tool focused on network connectivity between financial institutions.