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December 2013

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.

Related Insights

Credit Loss Estimation - Industry Challenges and Solutions for Stress Testing

Thomas Day, Senior Director, Mehna Raissi, Director, and Chris Shayne, Director discuss credit risk management and loss modeling in a stress testing environment.

May 2014 WebPage Thomas Day, Mehna Raissi, Chris Shayne

Data, Analytics, and Reporting Requirements: Challenges and Solutions

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.

March 2014 Pdf Thomas Day, John Haley

2013 Mid-Cycle Stress Test Disclosures

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.

November 2013 WebPage Thomas Day

CCAR and DFAST: What will 2014 Bring?

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.

November 2013 WebPage Thomas Day

Modeling Credit Losses to Meet Stress Testing Requirements

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.

November 2013 WebPage Thomas Day, Anna Krayn

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.

October 2013 WebPage Thomas Day, Dr. Amnon Levy, Robert Wyle

Stress Testing Webinar Series: Macroeconomic Conditional Loss Forecasting Presentation

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).

October 2013 Pdf Thomas Day, Dr. Cristian deRitis, Luis Amador

Emerging Standards: Liquidity Risk Management

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.

October 2013 Pdf Thomas Day

Summary of 2013 Comprehensive Capital Analysis and Review and Dodd-Frank Act Stress Tests

This article provides a summary of the 2013 CCAR and Dodd-Frank Act Stress Tests, and compares the results with the 2012 stress tests.

September 2013 WebPage Thomas Day

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

February 2013 Pdf Thomas Day