Webinar-on-Demand
The EBA has set a new standard for the definition of default which will require banks to make significant adjustments to their measures, models and processes by 31 December 2020.
Webinar-on-Demand
Listen as Anamaria Pieschacon and Michael Brisson a discuss effective approaches for validating consumer credit risk models.
Webinar-on-Demand
In this webinar, Mark Zandi and the Moody's Analytics team discuss recent changes to our Global Macroeconomic Model, and provide an overview of Scenario Studio, our new platform for custom scenario development. Learn more: www.moodysanalytics.com/scenariostudio
Webinar-on-Demand
Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios.
Presentation
In this presentation, Dr. Olga Loiseau-Aslanidi and Alaistair Chan discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.
Newsletter
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).
Webinar-on-Demand
Institutions are transforming their analytic capabilities to move beyond static reports that explain what happened in the past, to more modern analytics that can explain why an event occurred and what is likely to happen in the future.
Newsletter
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.
Newsletter
This newsletter provides information about key developments in Banking regulations worldwide. New articles are sorted by country, and are associated with keywords.
Whitepaper
Higher capital standards imposed by new stress testing requirements have forced organizations to address how to better manage capital to meet regulatory constraints. While maintaining higher capital levels is indeed mandatory, simply satisfying the requirement does not necessarily align with stakeholders' preferences for optimal capital deployment and investment decisions. CCAR-style stress tests are requirements that organizations must adhere to; however, these exercises likely do not reflect how stakeholders actually trade off risk and return.
Whitepaper
This document presents a credit portfolio stress testing method that analytically determines multi-period expected losses under various macroeconomic scenarios. The methodology utilizes Moody's Analytics Global Correlation Model (GCorr) Macro model within the credit portfolio modeling framework. GCorr Macro links the systematic credit factors from GCorr to observable macroeconomic variables. We describe the stress testing calculations and estimation of GCorr Macro parameters and present several validation exercises for portfolios from various regions of the world and of various asset classes.
Whitepaper
This paper introduces a framework for stress testing portfolios of credit risk sensitive securities. Specifically, the framework uses a macroeconomic scenario to project stressed expected losses (EL) on the securities by accounting for credit quality changes, recovery risk effects, fluctuations in market price of risk, and interest rates paths. The calculations are carried out analytically over multiple periods.
