What are the Pros and Cons 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.
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. Using multiple scenarios will be less volatile, but are most costly.
Related Articles
|
Webinar-on-Demand
Moody's Analytics Webinar: 2020 U.S. Macro Outlook: Two EconomiesThe U.S. economy is being buffeted by significant cross-currents. |
2020 Global Recession: Key Indicators and ImplicationsIn a recent webinar with GARP and Moody's Analytics, Chief Deputy Economist, Cris deRitis, took a look at the indicators and implications of an upcoming recession, and how they may affect credit risk. |
|
Webinar-on-Demand
2020 U.S. Economic & Consumer Credit OutlookCris deRitis, Chief Deputy Economist with Moody's Analytics discusses the current and anticipated trends in U.S. economic and household credit conditions. |
|
Webinar-on-Demand
A Global Recession: Key Indicators and ImplicationsHow should we prepare for the next recession? |
|
Presentation
Mission Possible: Producing Defendable CECL Results With or Without ModelsLearn 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. |
|
Presentation
Boom, Bust, Flat: Quantifying Recession and Expansion Risks with ScenariosHaving 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. |
|
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. |
|
Article
Reasonable and Supportable Forecasts - From Principles to PracticeWith 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 SeveritiesAlternative 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. |
