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    Moody's Analytics Insights

    Moody's Analytics Insights

    Presentation

    A CECL Benchmark Solution from Call Report Data for Banks and Credit Unions

    Top-down approach for small institutions, small and/or young portfolios that produces scenario-conditioned lifetime net losses at different evaluation dates.

    May 2019
    Article

    Moody's Analytics Wins the Strategy Category Award in the 2019 Chartis RiskTech100®

    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.

    February 2019
    Article

    Moody's Analytics Wins the Balance Sheet Risk Management Category Award in the 2019 Chartis RiskTech100®

    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

    February 2019
    Article
    Graphic blue house in a line of white houses

    Canada Housing Market Outlook: A Better Long-Term Perspective

    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.

    June 2018
    Webinar-on-Demand
    Business and financial report

    CECL's Forward-Looking Requirements

    In this webinar, we examine how CECL's forward-looking requirements can significantly change your loss reserves and future financial statements.

    January 2018
    Article
    sketches of sedans, SUVs

    Wholesale Used-Car Price Report December 2017

    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.

    December 2017
    Webinar-on-Demand
    Business and financial report

    Producing Objective Income & Balance Sheet Forecasts

    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.

    November 2017
    Whitepaper
    Solvency Ratio under various asset allocations, in scenario where credit spreads rise

    Solvency In Sight - New Tools for Understanding the Impact of Investment Decisions on Capital

    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.

    October 2017
    Article
    Red house in a group of white houses

    Canada Housing Market Outlook: Stepping on the Brake

    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

    September 2017
    Whitepaper
    The six prescribed shocks for EUR, USD, and USG

    Interest Rate Risk in the Banking Book: Meeting the Practical Challenges

    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.

    September 2017
    Whitepaper
    Figre 10: Diversification benefit (aggregate compared to sum of individual capital requirements)

    Proxy Methods for Run-off CTE Capital Projection: A Life Insurance Case Study

    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.

    October 2016
    Whitepaper
    TRC (left) and IA-RC (right) Capital Dynamics with R-squared (One Year Maturity with 20bp Spread).
As

    Income-Adjusted Risk Contribution-based Capital Allocation

    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.

    August 2016