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Moody's Analytics Insights

Webinar-on-Demand
Business and financial report

Global Macroeconomic Model and Scenario Studio

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

June 2018
Mark Zandi, Mark Hopkins

Presentation
Lifetime ECL

IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios Presentation Slides

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.

October 2017
Dr. Olga Loiseau-Aslanidi, Alaistair Chan

Webinar-on-Demand
Stones balancing on a blue sky background

IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios

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.

October 2017
Dr. Olga Loiseau-Aslanidi, Alaistair Chan

Newsletter
Image of business person's hand on desk with justic scales

Banking Regulatory Insight Newsletter – November 2016

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).

November 2016
Michael van Steen

Webinar-on-Demand
The Statue of Justice symbol, legal law concept image

The Next Wave – Implementing a well-designed Internal Model

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.

October 2016
Alexis Bailly, Brian Robinson , Martin Elliot

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.

October 2016

Newsletter
Managing Director of the International Monetary Fund, Christine Lagarde, during a meeting with President of Ukraine Petro Poroshenko in Kiev

Banking Regulatory Insight Newsletter – September 2016

This newsletter provides information about key developments in Banking regulations worldwide. New articles are sorted by country, and are associated with keywords.

September 2016
Michael van Steen

Whitepaper
Figure 2 CCM under the Stress Testing requirement

Investment Decisions and Risk-Based Capital Allocation Under Stress Testing Requirements

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.

May 2016
Dr. Amnon Levy, Dr. Pierre Xu

Whitepaper
Figure 15 Market shocks of selected macroeconomic variables

Using GCorr® Macro for Multi-Period Stress Testing of Credit Portfolios

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.

April 2016
Noelle Hong, Jimmy Huang, Albert Lee,  Dr. Amnon Levy, Marc Mitrovic, Libor Pospisil, Olcay Ozkanoglu

Whitepaper
Figure 1 Dynamics of the one-year EDF™ (Expected Default Frequency) values associated with various rating categories.

Stress Testing a Securities Portfolio with Spread Risk and Loss Recognition

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.

April 2016
Sunny Kanugo, Vishal Mangla, Libor Pospisil,  Dr. Yashan Wang, Kevin Yang, Ian Ward, Jay Harvey

Webinar-on-Demand
The Statue of Justice symbol, legal law concept image

EBA Scenarios for the 2016 EU-wide Stress Test

The EBA has released its 2016 EU-wide Stress Test. This webinar dissects the scenarios, considers possible narratives driving them and their probability of occurring.

April 2016
Petr Zemcik, Anna Zabrodzka,  Dr. Olga Loiseau-Aslanidi

Article
Figure 1: the Unification of Silos Through Common Threads

Reading the Tea Leaves of Recent Regulatory Guidance

December 2015 was a busy month for regulatory agencies and global standard setters. Throughout the year the industry has been waiting for additional guidance on high impact topics including capital planning and allowance methodologies, and in the final stretch of 2015 both the Federal Reserve and the Basel Committee on Banking Supervision (BCBS) complied. This paper will primarily focus on common themes in the two releases.

January 2016