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    Gauging the Risk of Europe’s Banks: What Might the ECB Find?

    November 2013

    The European Central (ECB) has begun a year-long comprehensive assessment of the Euro area banking system. In this webinar, Moody's Analytics seeks to provide a default data-driven context for the ECB's exercise and a preview for what is to come.

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    It's 2019, Do you Know Who Your Borrowers Are?

    Technology and modern finance have enabled individuals and companies to become connected in complex ways. Key insights about the reputational risk of banking a customer are now buried inside tangled relationships that cross legal, company, and geographical borders

    November 2019 Pdf Danielle Ferry

    Dynamic Model-Building: A Proposed Variable Selection Algorithm

    In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.

    January 2018 WebPage Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Dr. Dmytro Vikhrov

    U.K. Residential Mortgages Risk Weights: PRA Consultation Paper CP29/16

    This paper presents best practices for addressing PRA Consultation Paper CP29/16.

    October 2016 Pdf Dr. Juan M. LicariDr. Dimitrios Papanastasiou, Maria Valle del Olmo

    Brexit Fallout: Using Scenario Analysis and a Systemic Risk Approach to Assess Corporate Credit Risk

    The June 23rd referendum, in which UK voters chose to leave the European Union, has fanned financial volatility and may precipitate a recession in the UK economy. The updated economic and financial outlook has implications for corporate credit risk.

    August 2016 WebPage Glenn Levine, Danielle Ferry, Dr. Samuel W. Malone

    Probability-Weighted Outcomes Under IFRS 9: A Macroeconomic Approach

    In this article, we discuss development of a framework that addresses the forward-looking and probability-weighted aspects of IFRS 9 impairment calculation using macroeconomic forecasts. In it, we address questions around the practical use of alternative scenarios and their probabilities.

    June 2016 WebPage Barnaby Black, Glenn LevineDr. Juan M. Licari

    Complying with IFRS 9 Impairment Calculations for Retail Portfolios

    This article discusses how to address the specific challenges that IFRS 9 poses for retail portfolios, including incorporating forward-looking information into impairment models, recognizing significant increases in credit risks, and determining the length of an instrument's lifetime.

    June 2016 WebPage Barnaby Black, Dr. Shirish Chinchalkar, Dr. Juan M. Licari

    A Simulated Stress Test of the Corporate Loan Portfolios of Australia's Largest Banks

    This whitepaper discusses the findings of our simulation exercise to the corporate loan portfolios of Australia's five largest banks.

    March 2016 Pdf Danielle Ferry, David HamiltonGlenn Levine

    Advanced Estimation and Simulation Methods for Retail Credit Portfolios: Frequentist vs. Bayesian Techniques

    In this article, we compare the results of estimating retail portfolio risk parameters (e.g., PDs, EADs, LGDs) and simulating portfolio default losses using traditional – frequentist – methods versus Bayesian techniques.

    December 2015 WebPage Dr. Juan M. Licari, Dr. Gustavo Ordóñez-Sanz, Chiara Ventura

    Multi-Period Credit Risk Analysis: A Macro-Scenario Approach Presentation Slides

    In this presentation, Dr. Juan Licari of Moody's Analytics will present an innovative framework for stochastic scenario generation that allows risk managers and economists to build multi-period environments, integrating conditional credit and market risk modeling to meet dynamic stress testing needs.

    December 2015 Pdf Dr. Juan M. Licari

    Market Risk Stress Testing Models Presentation Slides

    In this presentation, Dr. Juan Licari presents a two-stage process that generates consistent, transparent scenario-specific forecasts for all relevant market and credit risk instruments, ensuring cross-consistency between projections for macroeconomic and financial series.

    December 2015 Pdf Dr. Juan M. Licari
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