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    New Methods for Modeling Sovereign Risk in Credit Portfolios

    October 2011

    The recent sovereign debt crisis in Europe, along with the global increase in sovereign debt issuance, has motivated credit portfolio managers to renew their focus on managing sovereign risk. In response, Moody's Analytics Quantitative Research Group has developed new techniques for modeling sovereign asset correlations.

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    Moody's Analytics is pleased to announce the release of versions 5.3 and 5.4 of the RiskFrontier™ software. Join our experts as they discuss the latest enhancements and updates.

    February 28, 2019 WebPage Atit Wongnophadol, Yiting Xu, Nihil Patel
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    Moody's Analytics Webinar: RiskFrontier™ 5.3 and 5.4 Release and GCorr™ 2018 Update

    Moody's Analytics is pleased to announce the release of versions 5.3 and 5.4 of the RiskFrontier software. The latest version includes the following enhancements:

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    CECL Treatment for the Investment Portfolio

    In this presentation, our experts discussed common CECL considerations for structured credit and answer key questions on how to provide CECL estimates for structured credit.

    April 2017 Pdf David KurnovNihil Patel
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    Investment Portfolios CECL Methodologies

    In this fifth webinar in our series, our experts discussed common CECL considerations for structured credit and answered key questions on how to provide CECL estimates for structured credit.

    April 2017 WebPage David KurnovNihil Patel
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    Expanding Sensitivity Analysis and Stress Testing for CECL

    In this American Banker webinar, Moody's Analytics discusses potential approaches for firms to expand on their current sensitivity analysis and stress testing for CECL implementation.

    December 2016 WebPage Nihil Patel, Michael Gullette
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    Expanding Sensitivity Analysis and Stress Testing for CECL

    To ease the transition to CECL, firms can leverage and align existing risk management practices. Institutions are in the process of trying to determine which methodologies can be expanded to meet the CECL impairment model requirements, while retaining a consistency between other regulatory and risk management activities.

    December 2016 Pdf Nihil Patel
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    Leveraging Basel and Stress Testing Models for CECL

    In this webinar, expert Nihil Patel, outlines how institutions can leverage Basel and Stress Testing models to comply with FASB’s new impairment accounting standards.

    October 2016 WebPage Nihil Patel
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    Modeling IFRS 9 Impairments – Tactical Implementation Approaches

    Learn how Moody’s Analytics is helping institutions of all sizes address the challenges of implementing the IFRS 9 impairment model.

    October 2016 WebPage Burcu Guner, Nihil Patel
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    Leveraging Basel and Stress Testing Models for CECL Presentation Slides

    In this presentation, expert Nihil Patel, outlines how institutions can leverage Basel and Stress Testing models to comply with FASB's new impairment accounting standards.

    October 2016 Pdf Nihil Patel
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    Managing Credit Portfolio Risk Under Basel III: Integrating Regulatory Capital with Economic Risks

    In this webinar we will discuss different approaches in credit portfolio management, dangers of only using regulatory capital when optimizing your portfolio, how to appropriately incorporate regulatory capital considerations, and metrics to consider when optimizing your portfolio and setting appropriate limits.

    June 2016 WebPage Nihil Patel
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