Top-down approach for small institutions, small and/or young portfolios that produces scenario-conditioned lifetime net losses at different evaluation dates.
Winning a game of chess requires strategy and tactics, seeing where the game will go next and making deft, skilful moves accordingly. The winners in the RiskTech100 ® awards are vendors thinking like grand masters, succeeding with decision-making and looking into the future to unlock opportunities.
In a post-Basel market, succeeding with balance sheet risk management is crucial for avoiding holding excessive capital returns and missing out on revenue-generating opportunities. The vendors servicing this market are on a mission to help firms centralize
Canada's housing market has moved past its previous turning point and seems to have settled into an interlude of slowing house price appreciation, reduced sales, and a looser market in general.
In this webinar, we examine how CECL's forward-looking requirements can significantly change your loss reserves and future financial statements.
Wholesale used-vehicle auction sales waned in November, while the average transaction price fell by 0.53% from a year ago to $10,556. The surge in replacement demand after Hurricanes Harvey and Irma appears to be fading, resulting in prices and sales normalizing from the strong performance in October and September.
In this webinar, we demonstrate how forecasts based on industry data can be used to generate an objective benchmark of a bank's performance under baseline and stressed scenarios. We demonstrate results though case study of regional banks, peer groups, and larger CCAR-sized institutions.
In this paper, we have considered the use of proxy models as a way of overcoming some of the operational and computational challenges associated with measuring future solvency under different market conditions and ALM assumptions.
Canada's housing market is starting to feel the effects of federal and provincial government restrictions, and now the Bank of Canada has also started its long-awaited tightening of interest rates
The new Basel Committee on Banking Supervision (BCBS) standards for IRRBB come into force January 1, 2018. This paper looks at the standards from a practical implementation point of view and raises some of the main challenges.
In this paper, we show a practical application to forecasting capital requirements for real portfolios of participating whole life and annuity business, carried out in a joint research project between Moody's Analytics and New York Life Insurance Company.
Banks commonly use Risk Contribution, or contribution to portfolio Unexpected Loss (i.e., standard deviation), as a risk allocation method. While the method has some very desirable properties, it can also produce seemingly counterintuitive dynamics, whereby high interest income-producing assets are associated with higher risk, all else being equal. This dynamic manifests from the higher interest income assets possessing higher value, leading to higher standard deviation in absolute terms. In reality, financial institutions often use interest income to offset losses, and thus, associate higher interest with lower risk. This paper introduces a new, income-adjusted form of Risk Contribution-based capital allocation, designed so that interest income offsets losses. The measure demonstrates improved properties for exposures with particularly high coupons.