In this webinar, originally recorded on September 17, 2013, Thomas Day discusses best practices for expected loss and pre-provision net revenue forecasting, integration of stress testing into your business architecture, and transforming stress testing from a regulatory exercise to a strategic management tool.
Thomas Day, Senior Director, Mehna Raissi, Director, and Chris Shayne, Director discuss credit risk management and loss modeling in a stress testing environment.
In this paper, we first provide a background on stress-testing, discuss infrastructure challenges and issues related to legacy data and remediation requirements, including the costs and benefits of improved data management and the challenges of managing multiple hierarchies and reporting dimensions required by the Supervisory Authorities. Next, we cover data governance issues, the data requirements of meeting U.S. stress-testing mandates, and the basic elements of a sound data management infrastructure.
This article provides a summary of the mid-cycle stress test results, including observations about scenarios, loss estimates and PPNR, disclosures, and areas for improvement.
Learn how the Comprehensive Capital Analysis and Review and Dodd-Frank Act Stress Tests will impact banks in 2014 and how banks can best prepare for the changes.
This article discusses two conceptual approaches for modeling stressed credit losses: top-down and bottom-up. It highlights the benefits and challenges of using each approach and regulatory expectations.
In this Moody's Analytics webinar, Thomas Day and other Moody's Analytics experts discuss Macroeconomic Conditional Loss Forecasting. Given the criticality of loss estimation, and the need for different models by asset class, we cover loss estimation for Retail Exposures (non-mortgage), Structured Portfolios, Wholesale C&I (non-public), and Wholesale (public).
Stress Testing Webinar Series: Macroeconomic Conditional Pre-provision Net Revenue (PPNR) Forecasting
This webinar discusses the primary challenges confronting banks when forecasting macroeconomic conditional pre-provision net revenue (PPNR), best practices for forecasting macroeconomic conditional PPNR, and the tools and techniques used by Moody’s Analytics to address the challenges.
Banks' funding activities and liquidity management will be the focus of increased regulator attention in coming years. This presentation helps risk managers meet best practices.
This article provides a summary of the 2013 CCAR and Dodd-Frank Act Stress Tests, and compares the results with the 2012 stress tests.
Breaking the Black Box - Managing Stress Testing, Capital Assessment and Risk Appetite Frameworks in a CCAR World
In an effort to improve transparency and increase confidence, global policy leaders have embarked on an ambitious agenda that has as its centerpiece improvements in data architecture and infrastructure, firmwide stress-testing, capital planning, and risk appetite frameworks. In the United States, this is known as the Comprehensive Capital Assessment and Review (CCAR). CCAR, Basel III, and enhanced liquidity risk management expectations aren't easy problems to solve. To