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    Moody's Analytics Insights

    Moody's Analytics Insights

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    The Ever-Widening World of RegTech

    In this webinar, view the observations that were put forward in a recent conversation with Andrew Bockelman, general manager of banking RegTech at Moody's Analytics.

    November 2017
    The evolution of PRA110 from the EBA’s ALMM C66 recommendations.

    Liquidity Risk: Some Practical Challenges Remain, but this is the time to Automate & Integrate

    This whitepaper covers the challenges and best practices for closer alignment of liquidity risk management and regulatory reporting.

    October 2017
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    FRTB Marginal Back-Allocation

    This paper develops a method to back-allocate to individual positions the market risk capital requirement that a bank must satisfy under the revised standardized approach proposed by the Basel Committee. Our method assesses the contribution of single positions or sub-portfolios to the overall capital charge. One important feature of our method is that it provides insight on which positions, sub-portfolios, and risk factors drive the capital charge and which help mitigate it. A negative contribution indicates that a marginal increase in the position would lead to a decrease in the capital charge, and vice versa.

    April 2017
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    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
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    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
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    Quantitative Research Webinar Series: Measuring Required Economic Capital and Parameterizing the Loss Reference Point

    Mark Wells, Associate Director of Portfolio Research at Moody's Analytics, outlines how the parameterization of an Economic Capital model differs for accrual and securities portfolios and relates the parameterization approaches with those associated with Basel Advanced-IRB calculations.

    October 2016
    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
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    Revised Pillar 3 Disclosure Requirements

    This Whitepaper explores the BCBS' final framework on the revised Pillar 3 disclosure requirements for credit risk, counterparty credit risk (CCR), securitization, and market risk.

    July 2015
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    Net Stable Funding Ratio

    This Whitepaper provides a detailed description of the upcoming Net Stable Funding Ratio (NSFR) requirements under Basel III liquidity compliance.

    June 2015

    European Banks Underestimate the Challenges of BCBS 239 Implementation

    This whitepaper looks at the results of the Moody's Analytics survey in January 2015, which reveals that many banks underestimate the time, resources and cost involved to implement BCBS 239.

    April 2015
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    An Enhanced Liquidity Risk Management Framework for Banks

    This whitepaper reviews the Liquidity Management requirements of Basel III, and explores how best to implement them.

    April 2015
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    Capital Requirements for Banks' Equity

    In December 2013, the Basel Committee on Banking Supervision released the final policy framework for the capital treatment of banks' equity investments in funds that are held in the banking book. The final policy framework will apply to investments in all types of funds and to all banks, irrespective of whether the banks apply the Basel framework's standardized approach or an internal ratings-based (IRB) approach for credit risk. The final framework will be applicable as of January 1, 2017.

    November 2014