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    Stress Testing Webinar Series: Macroeconomic Conditional Pre-provision Net Revenue (PPNR) Forecasting

    October 2013

    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.

    Related Articles
    Article

    Non-bank Players are Ready for CECL — Are Banks?

    The initial intent of the CECL guidelines was to make loan-loss allowances more reactive to the credit environment. By setting aside greater allowances, organizations would be better prepared for a default.

    February 2020 WebPage Dr. Amnon Levy
    Article

    The Changing Climate of Credit Risk Management

    While bankers are increasingly managing risks related to changes in policy and technology (also known as transition risk), physical risks are not necessarily an obvious set of primary factors for banks’ commercial credit portfolio managers originating credit with maturities of three to seven years.

    February 2020 WebPage Dr. Amnon Levy, Frank Freitas
    Whitepaper

    The Role of Banks in Illiquid Credit Markets, and the Disruption and Evolution of Credit Portfolio Management

    The combination of new entrants, new technologies and (unintended) consequences of regulatory and accounting rules are driving banks to collect more data and to develop sophisticated tools when designing ever-more robust credit portfolio strategies.

    January 2020 WebPage Dr. Amnon LevyPierre Xu
    Presentation

    Loan Valuation and Credit Portfolio Management Post-IFRS 9, CECL

    RAROC and RORAC solutions that account for allowance and forward-looking IFRS 9 / CECL measures in return and risk.

    November 2019 Pdf Dr. Amnon LevyPierre Xu
    Whitepaper

    Earnings Volatility, Share Price Performance, and Credit Portfolio Management Under CECL and IFRS 9

    This paper studies how earnings volatility induced by credit risk can impact share price performance for financial institutions under CECL and IFRS 9, and quantifies the benefit of an active credit risk management practice.

    April 2019 WebPage Dr. Amnon Levy, Xuan Liang, Pierre Xu

    Moody's Analytics Webinar: Credit Earnings Volatility and Share Price Performance: Implications of IFRS 9 and CECL

    Join us as our experts, Amnon Levy, Managing Director, Pierre Xu, Director, and Anna Krayn, Senior Director, explore the relationship between share price performance and earnings volatility and the implications for credit portfolio management.

    February 25, 2019 WebPage Dr. Amnon LevyPierre XuAnna Krayn
    Webinar-on-Demand

    Moody's Analytics Webinar: Credit Earnings Volatility and Share Price Performance: Implications of IFRS 9 and CECL

    The new accounting standards can have material implications for allowance and earnings dynamics. Join our researchers, Amnon Levy and Pierre Xu, explore a large sample of banks to better understand channels by which the standards affect shareholder value.

    February 2019 WebPage Dr. Amnon LevyPierre XuAnna Krayn
    Whitepaper

    A Composite Capital Measure Unifying Business Decision Rules in the Face of Regulatory Requirements Under New Accounting Standards

    This paper introduces an approach that quantifies the additional capital buffer an institution requires, beyond the required regulatory minimum, to limit the likelihood of a capital breach.

    May 2018 WebPage Dr. Amnon Levy, Xuan Liang, Pierre Xu
    Whitepaper

    Measuring and Managing the Impact of IFRS 9 and CECL Requirements on Dynamics in Allowance, Earnings, and Bank Capital

    This paper explores how CECL and IFRS 9 might impact loss allowance, earnings, and capital dynamics, and how these dynamics might affect credit portfolio management.

    April 2018 WebPage Dr. Amnon LevyDr. Jing Zhang
    Whitepaper

    Economic Capital Model Validation: A Comparative Study

    Using a long history of public firm defaults from Moody's Investor Services and Moody's Analytics, this study illustrates a validation approach for jointly testing the impact of PD and correlation upon model performance. We construct predicted default distributions using a variety of PD and correlation inputs and examine how the predicted distribution compares with the realized distribution. The comparison is done by looking at the percentile of realized defaults with respect to the predicted default distribution. We compare the performance of two typical portfolio parameterizations: (1) a through-the-cycle style parameterization using agency ratings-based long-term average default rates and Basel II correlations; and (2) a point-in-time style parameterization using public EDF credit measure, and Moody's Analytics Global Correlation Model (GCorr™). Results demonstrate that a through-the-cycle style parameterization results in a less conservative view of economic capital and substantial serial correlation in capital estimates. Results also show that when point-in-time measures are used, the tested economic capital model produces consistent and conservative economic capital estimates over time. A version of this paper appears in the Journal of Risk Model Validation, March 2013.

    February 2018 Pdf Zhenya Hu, Dr. Amnon LevyDr. Jing Zhang
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