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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Moody's Analytics Webinar: Briefing on the CCAR ScenariosThe 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. |
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Webinar-on-Demand
Moody's Analytics Webinar: Briefing on the CCAR ScenariosThe Federal Reserve have released its scenarios for the 2019 CCAR stress test. Listen as Mark Zandi and Cristian deRitis discuss the narratives behind the Fed’s scenarios under forecasts of detailed economic variables. |
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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. |
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Whitepaper
Beyond Theory: A Practical Guide to Using Economic Forecasts for CECL EstimatesStarting 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, and incorporate macroeconomic forecasts formally into their loss allowance estimates for the first time. |
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. |
