Webinar-on-Demand
Listen as Anamaria Pieschacon and Michael Brisson a discuss effective approaches for validating consumer credit risk models.
Whitepaper
Moody's Analytics provides financial intelligence and analytical tools supported by risk expertise, expansive information resources, and the application of new technology. Its solutions, made up of research, data, software and professional services, are assembled with the aim of delivering a seamless customer experience.
February 2019
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In this paper we present the theoretical motivation behind these weights and suggests reasonable ways of choosing these weights in practice.
Webinar-on-Demand
ImpairmentCalc™ software produces IFRS 9 ECL estimates which are both forward-looking and incorporate the latest changes in the macroeconomic environment.
January 2019
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Moody's Analytics
Article
Moody's Analytics Wins CECL Category Award in 2019 Chartis RiskTech100
January 2019
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Article
Through this study, we illustrate the challenges for modelers under CECL and assess the impact of the new accounting standards.
Article
In this paper, we provide empirical support for the conclusion that the CECL standard will be less procyclical than the incurred loss standard.
Article
We asked attendees of the 2018 Moody's Analytics Summit their thoughts on four key questions in preparation for the new standard.
FAQ
An open dialogue around economic forecasting techniques for calculating life-of-loan expected credit losses.
Webinar-on-Demand
As internal model development and use of vendor models for CECL submission are fast in progress for those submitting by January 2020, our analystsreview a checklist that will help you organize CECL project plans.
Article
With the CECL guidelines on mean reversion open to multiple interpretations, our paper discusses some approaches institutions can take for reversion beyond the reasonable and supportable horizon.
Article
In this study, we address these shortcomings by utilizing data that track loan volume and performance to ascertain CECL's cyclical impact.
Article
Many institutions are struggling to apply the CECL standard as it pertains to credit cards, and in particular determining the lifetime value for credit card portfolios. In this paper, we explore the different approaches to evaluating lifetime estimates for the credit card portfolio.
Article
This paper examines the impact of adopting current expected credit loss (CECL) standards for U.S. auto lenders. We use a dataset of national retail auto loans to illustrate potential changes in model-based allowances across the industry. Our analysis shows that on the first day of CECL adoption, loss allowances for U.S. auto lenders could increase by as much as 1.5 to 2.5 times the current allowances.
September 2018
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Moody's Analytics
Article
This paper compares and contrasts, through the CECL lens, the two baseline scenarios Moody's Analytics produces monthly: the Moody's Analytics baseline and the consensus baseline.
Article
In this article, we describe the methodology used by Moody's Analytics to assign probabilities to its regularly produced alternative macroeconomic scenarios and to calibrate these scenarios by taking into consideration recent post-crisis economic conditions.
September 2018
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Moody's Analytics
Article
In 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.
Article
When calculating expected credit losses, accuracy is paramount. This is a challenging task, but there are specific steps financial institutions can take to build meaningful risk ratings that lead to more precise loss calculations and better, more informed decisions.
Webinar-on-Demand
In this webinar, our economists and consumer credit analyst share insight on techniques and best practices for modeling allowances for CECL.
Article
Across institutions of all sizes, one of the questions executive management should be asking their CECL working groups is, "What is the impact to our bottom line?"
Webinar-on-Demand
Our experts, Masha Muzyka and Jin Oh, cover transition disclosures focus areas, potential implication of the methodology chosen to the expected disclosures and ECL disclosure best practices emerging to date.
Presentation
CECL Disclosures – Required and Beyond
Presentation
CECL will require institutions to incorporate macroeconomic forecasts formally into their loss allowance estimates for the first time. There are a number of ways in which this can be achieved as the CECL guidelines don't specify any one particular approach. In this presentation, 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. We also show a simple solution for calculating the lifetime expected losses for consumer loans for different products.
Presentation
Challenges in CECL Implementation
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Simple But Not Simpler: Day 1 Modeling Approaches. This presentation is a review of simple approaches available to community banks on the road to their CECL journey.
Webinar-on-Demand
Our subject matter experts, Robby Holditch, Director, and Jin Oh, Director, discuss critical steps in meeting the new CECL standard.
Presentation
The “Easiest” Implementation – Why There Is No Easy Button
Presentation
This 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.
Webinar-on-Demand
With the emergence of CECL, many lenders have been worried about how the forward-looking approach would affect their reserves and future loan originations.
Whitepaper
Prudent credit risk management ensures institutions maintain sufficient capital and limit the possibility of a capital breach. With CECL and IFRS 9, the resulting trend toward greater credit earnings volatility raises uncertainty in capital supply, ultimately causing an increase in required capital. It is ever more challenging for institutions to manage their top-of-the house capital while steering their business to achieve the desired performance level. This paper introduces an approach that quantifies the additional capital buffer an institution requires, beyond the required regulatory minimum, to limit the likelihood of a capital breach. In addition, we introduce a new measure that allocates capital and recognizes an instrument's regulatory capital requirements, loss allowance, economic concentration risks, and the instrument's contribution to the uncertainty in capital supply and demand. In-line with the Composite Capital Measure introduced in Levy and Xu (2017), this extended measure includes far-reaching implications for business decisions. Using a series of case studies, we demonstrate the limitations of alternative measures and how institutions can optimize performance by allocating capital and making business decisions according to the new measure.
