What are Some of the Pros and Cons of Loan Level versus Cohort-Level or Portfolio-Level Models for CECL?
In this video, Cris DeRitis reviews the advantages and disadvantages of the different type of models that are acceptable for CECL. A portfolio-level approach is a simpler modeling method, but lacks granularity.
In this video, Cris DeRitis reviews the advantages and disadvantages of the different type of models that are acceptable for CECL. A portfolio-level approach is a simpler modeling method, but lacks granularity. Loan-level models are more granular, but more complex and costly. Vintage cohort-level models are sensitive enough to capture economic changes, but not as complex and costly as loan-level models.
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Beyond Theory: A Practical Guide to Using Economic Forecasts for CECL EstimatesIn this paper, we discuss some of the options that institutions have for incorporating economic forecasts into their expected loan loss reserve calculations. We discuss the benefits and costs of each approach and provide practical recommendations based on institution size and complexity. |
CECL for Consumer Credit Portfolios: Modeling Best PracticesIn this webinar, our economists and consumer credit analyst will share insight on techniques and best practices for modeling allowances for CECL. |
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Presentation
Be Reasonable: Creating Supportable Forecast Scenarios for CECLThis presentation discusses the CECL requirement of reasonable and supportable forecasts. We discuss what makes an economic scenario reasonable and supportable and discusses structural forecast model methodology. We also compare customized, standard and off-the-shelf scenarios and examine forecasting credit losses. |
CECL Impact Analysis for Consumer Lending PortfoliosThrough case studies of mortgage and auto portfolios, our experts explore the potential impact of CECL on industry wide reserves and factors that will affect results at the institution level. |
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Webinar-on-Demand
President Trump's Tariffs – Assessing the Impact of Various Trade ScenariosIn this webinar, Mark Zandi and our team of economists use the Moody’s Analytics Global Macroeconomic Model to assess the impact of various trade scenarios. |
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The Transition to CECL: Implementation Considerations, Part 3In this video webcast, we identify the critical components needed for a successful CECL implementation and the new considerations it also brings. |
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The Transition to CECL: Disclosures, Part 4In this video webcast, we identify the critical components needed for a successful CECL implementation and the new considerations it also brings. |
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The Transition to CECL: Final Picture, Part 5In this video webcast, we identify the critical components needed for a successful CECL implementation and the new considerations it also brings. |
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Webinar-on-Demand
The Transition to CECL: IFRS 9 Lessons Learned, Part 2In this video webcast, we identify the critical components needed for a successful CECL implementation and the new considerations it also brings. |
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Webinar-on-Demand
The Transition to CECL: Economic Impact, Part 1In this video webcast, we identify the critical components needed for a successful CECL implementation and the new considerations it also brings. |
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Webinar-on-Demand
CECL's Forward-Looking RequirementsIn this webinar, we examine how CECL’s forward-looking requirements can significantly change your loss reserves and future financial statements. |
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Webinar-on-Demand
The Transition to CECL: Implementation and Strategic ConsiderationsIn this video webcast, we identify the critical components needed for a successful CECL implementation and the new considerations it also brings. |
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Presentation
Economic Scenarios: A Glimpse Into the FutureUnder CECL and IFRS 9, forecasting expected credit losses will be paramount. Join Moody's Analytics experts as they discuss our macro and regional forecasting. Learn how our full suite of scenario capabilities for CECL, IFRS 9, BAU, and stress testing can help your firm meet this essential requirement. |
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Interview
Which Modeling Methods or Techniques are Acceptable for CECL?In this video, Cris deRitis reviews the types of models institutions can leverage to be CECL-compliant including loan-level, loss given default, probability of default, expected at default, vintage cohort, or portfolio-level models. |
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Interview
What Should Banks Consider When Using Existing Models for CECL?In this video, Cris DeRitis explains how institutions can leverage existing models and modify them to be compliant with the new CECL standard. Acceptable models institutions can use include Dodd-Frank Act Stress Testing (DFAST), though-the-cycle or internal models. |
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Interview
What are the Pros and Con of Single versus Multiple Scenario Use for CECL?In this video, Cris deRitis discusses how single versus multiple scenarios can impact loss provisions and affect volatility in portfolios. One advantage of a single scenario is the simplicity, but it only provides one number under one scenario which can cause volatility over time. |
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Whitepaper
Economic Scenarios: What's Reasonable and Supportable?In this paper, we review and make recommendations on the use of economic scenarios in the CECL process along six key dimensions: FASB requirements, Forecast methodology and horizon definition, number of scenarios, mean reversions and custom scenarios. We conclude with a discussion of other considerations banks and lenders should bear in mind when developing a forward-looking process for CECL compliance. |
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Presentation
"Economic Scenarios for CECL; What's Reasonable and Supportable?" Presentation SlidesIn this webinar, Cris deRitis, Senior Director from Moody's Analytics, demonstrates how to leverage econometrically derived, forward-looking scenarios to assess life-time losses for CECL. |
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Webinar-on-Demand
Economic Scenarios for CECL: What's Reasonable and Supportable?In this webinar, Cris deRitis, Senior Director from Moody's Analytics, demonstrates how to leverage econometrically derived, forward-looking scenarios to assess life-time losses for CECL. |
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Interview
How Many Forward-looking Scenarios does CECL Require?In this video, learn more about the requirements for forward-looking economic scenarios for CECL compliance and the comparisons between scenarios for CECL and IFRS 9. |
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When Good Data Happen to Good People: Boosting Productivity with High-Quality DataIn this article, we show the mechanisms through which data quality and productivity interact, and how investments in data quality can offer productivity gains. |
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When Good Data Happen to Good People: Boosting Productivity with High-Quality DataWith ever-increasing requirements for a higher quantity and quality of analytical output, the need to boost productivity in risk management has become more acute. In pursuing these productivity gains, we have observed that investments in data quality can offer dramatic improvements and typically pay for themselves. |
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Webinar-on-Demand
CECL Quantification: Retail PortfoliosIn this webinar, our experts discuss the important considerations in the modeling and implementation of the CECL standard for retail portfolios. Learn more about loan-level modeling approaches that can be used to forecast credit losses for retail portfolios and how to leverage existing risk measurement practices. |
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Presentation
CECL Quantification: Retail Portfolios Webinar SlidesIn this webinar, our experts discuss the important considerations in the modeling and implementation of the CECL standard for retail portfolios. Learn more about loan-level modeling approaches that can be used to forecast credit losses for retail portfolios and how to leverage existing risk measurement practices. |
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Expanding and Regionalizing the Federal Reserve CCAR ScenariosMoody's Analytics will expand each of the Fed's scenarios to produce forecasts for the full set of more than 1,500 variables found in its own macroeconomic forecasts. |
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CECL Quantification: Retail Portfolios Webinar SlidesIn this webinar, our experts discuss the important considerations in the modeling and implementation of the CECL standard for retail portfolios. Learn more about loan-level modeling approaches that can be used to forecast credit losses for retail portfolios and how to leverage existing risk measurement practices. |
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CECL's Implications for Bank Profitability, System Stability, and Economic GrowthIn this article, we analyze the potential effects of upcoming CECL regulations on lenders and explore the impact of CECL under different Moody’s Analytics scenarios. |
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Whitepaper
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The Moody's CreditCycle Approach to Loan Loss ModelingThis whitepaper goes in-depth into the Moody's CreditCycle approach to loan loss modeling. |
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Consumer Credit Outlook, Economic Outlook ConferenceIn this video, Cris deRitis, Senior Director presents on the Consumer Credit Outlook at the Moody’s Analytics flagship event, EOC16.
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Dr. Cristian deRitis
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