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Moody's Analytics Insights

Whitepaper

Earnings Volatility, Share Price Performance, and Credit Portfolio Management Under CECL and IFRS 9

This paper studies how earnings volatility induced by credit risk can impact share price performance for financial institutions under CECL and IFRS 9, and quantifies the benefit of an active credit risk management practice.

April 2019
Dr. Amnon Levy, Xuan Liang, Dr. Pierre Xu

Whitepaper
Stock Market Graph and Bar Chart

Earnings Volatility, Share Price Performance, and Credit Portfolio Management Under CECL and IFRS 9

In this paper, we study how earnings volatility induced by credit risk can impact share price performance for financial institutions under CECL and IFRS 9, and we quantify the benefit of an active credit risk management practice. Our study uses empirical data to show that a 1.0% increase in earnings volatility leads to a 15.6 bps decrease in equity value. When we look at the earnings volatility components, we find that a 1.0% increase in the volatility of change in the loss allowance leads to a 6.0% bps decrease in equity value, while a 1.0% increase in the volatility of net charge-offs plus writedowns leads to a 10.5 bps decrease in equity value. This finding suggests that credit risk managers who diversify holdings and reduce earnings volatility without lowering profitability can increase shareholder value.

April 2019
Dr. Amnon Levy, Xuan Liang, Dr. Pierre Xu

Article
Stock Market Graph and Bar Chart

A Framework for Disclosing Period-over-Period CECL-Estimate Changes

While many institutions are currently in the throes of implementing the current expected credit loss (CECL) accounting standard, some are thinking ahead and some that are not. CECL will have an unavoidable impact on management disclosures, specifically around explaining period-over-period changes in allowance.

March 2019

Webinar-on-Demand

Moody's Analytics Webinar: Validating Models Effectively

Listen as Anamaria Pieschacon and Michael Brisson a discuss effective approaches for validating consumer credit risk models.

February 2019
Anamaria Pieschacon,  Michael Brisson

Whitepaper

Chartis Research | Moody's Analytics Credit Risk Vendor Analysis Report

Moody's Analytics provides financial intelligence and analytical tools supported by risk expertise, expansive information resources, and the application of new technology. Its solutions, made up of research, data, software and professional services, are assembled with the aim of delivering a seamless customer experience.

February 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

Webinar-on-Demand
Business and financial report

Moody's Analytics Webinar: ImpairmentCalc™ - Understanding IFRS 9 ECL Volatility

ImpairmentCalc™ software produces IFRS 9 ECL estimates which are both forward-looking and incorporate the latest changes in the macroeconomic environment.

January 2019
Moody's Analytics

Article
Actuarial Models in IFRS 17 World

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

Moody's Analytics Wins CECL Category Award in 2019 Chartis RiskTech100

January 2019

Article
illuminated charts and graphs

Modeling Credit Card Losses Under CECL

Through this study, we illustrate the challenges for modelers under CECL and assess the impact of the new accounting standards.

January 2019

Article
illuminated charts and graphs

Gauging CECL Cyclicality

In this paper, we provide empirical support for the conclusion that the CECL standard will be less procyclical than the incurred loss standard.

December 2018

Webinar-on-Demand
Concept of Growth created from three glasses with increasing  levels of water.

CECL for Consumer Lending Portfolios - Checklist

As internal model development and use of vendor models for CECL submission are fast in progress for those submitting by January 2020, our analystsreview a checklist that will help you organize CECL project plans.

November 2018
Moody's Analytics,  David FieldhouseDr. Deniz Tudor