Search Results

maintaining-resilience-in-a-rising-rates-environment

Estimating Commercial Real Estate (CRE) Stressed Loss Measures Under Federal Reserve 2013 Comprehensive Capital Analysis and Review (CCAR) Scenarios

Download this whitepaper to understand how Moody's Analytics' analysis derives the credit loss estimates for the CRE loan portfolios held by CCAR firms. Our analysis estimates that the expected nine quarter, cumulative CRE portfolio loss through the end of 2014 is 4.7% under the CCAR 2013 Severely Adverse scenario. We attribute the lower loss estimate compared to last year's stressed scenario to a number of factors, which we discuss.

The Belt and Road Initiative—Six Years On

Using the Moody's Analytics Global Macroeconomic Model to estimate the potential impact of BRI-related investments on Southeast Asian countries.

Climate Risk Macroeconomic Forecasting

Moody's Analytics is expanding its capabilities to enable institutions to assess risks posed by climate change.

The Role of Stress Testing in Credit Risk Management

The recent financial crisis has caused risk managers to reevaluate the techniques they use for assessing the risk of extreme losses to their portfolios. Some have argued that the use of distribution-based measures such as VaR and expected shortfall (ES) should be deemphasized in favor of stress-testing and scenario analysis. In this short note we discuss the benefits of stress-testing and scenario analysis.

Economic Forecasting and Scenario Generation Process

We describe the framework of the Moody's Analytics Global Macroeconomic Model and how its used in our forecasting process.