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    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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    Presentation

    Mission Possible: Producing Defendable CECL Results With or Without Models

    Learn to differentiate C&I, CRE, retail, and securities. Choose approaches at the right level of flexibility and sophistication. Apply model-free solutions based on historical internal or industry data.

    November 2019 Pdf Eric Bao, Dr. Cristian deRitisDr. Yashan Wang
    Presentation

    Boom, Bust, Flat: Quantifying Recession and Expansion Risks with Scenarios

    Having achieved the longest expansion in history, what's next for the US economy? ‍We will identify current downside – and upside – risks that could pull the economy into recession or propel it forward. We identify short, medium, and long-term risk factors and introduce a methodology for incorporating these risks into a globally consistent framework. ‍While no model can forecast the future with certainty, scenarios with mathematically derived probability weights can manage these risks and lead to better, faster decisions. ‍

    November 2019 Pdf Dr. Cristian deRitis
    Presentation

    The Risk Management Impact of Climate Change & Environmental, Social, & Governance Risk (ESG)

    Climate change and its increasing economic toll on businesses in different sectors of the economy is discussed, including how to operationalize the response to climate change risk, given stakeholder need. Also discussed is the linkage between environmental risk and other ESG risk factors to security returns and measures of credit risk.

    November 2019 Pdf Michael Denton, Dr. Cristian deRitis
    Article

    Reasonable and Supportable Forecasts - From Principles to Practice

    With many of the larger SEC filers well ahead in their CECL preparations and gearing up for validation, we examine how the requirements of an R&S forecast and reversion may be interpreted.

    Article

    Defining Economic Scenarios With Constant Severities

    Alternative economic scenarios are invaluable for quantifying and managing forecast risk. In this article, we define these constant severity scenarios and the models used to estimate their probabilities.

    Moody's Analytics Webinar: Trade War Update - Will Trump Push Too Far?

    President Trump has escalated the trade war with China, and nearly everyone has been wrong-footed by the move.

    May 20, 2019 WebPage Mark ZandiRyan SweetDr. Cristian deRitis
    Webinar-on-Demand

    Trade War Update - Will Trump Push Too Far?

    President Trump has escalated the trade war with China, and nearly everyone has been wrong-footed by the move.

    Presentation

    CECL 20/20: A Clear View of the New Credit Loss Requirements

    Starting in 2020, the Current Expected Credit Loss (CECL) accounting standard will require financial institutions to reserve for estimated lifetime losses on loans and leases as soon as they are originated. This presentation will provide analytical insight and practical recommendations to help lenders strategize and effectively prepare for the new rule.

    Article

    What Drives U.S. Auto Loan Delinquencies?

    A recent report raised concerns about the number of past-due auto loans. However, combined with improvements in the job market, the performance of auto loan and lease portfolios has stabilized over the past two years.

    February 2019 Pdf Dr. Cristian deRitis

    Moody's Analytics Webinar: Briefing on the CCAR Scenarios

    The Federal Reserve will release its scenarios for the 2019 CCAR stress test. Join Mark Zandi and Cristian deRitis as they discuss the narratives behind the Fed’s scenarios under forecasts of detailed economic variables.

    February 11, 2019 WebPage Mark ZandiDr. Cristian deRitis
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