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    IFRS 9 Impairment Webinar Series – Models for Implementation

    This webinar discusses determining the best approaches for model development and governance for IFRS 9 Impairment calculations.

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    Article

    ESG Score Predictor: Applying a Quantitative Approach for Expanding Company Coverage

    Assessing Environmental, Social, Governance (ESG) and climate risk is often subject to data constraints, including limited company coverage. This paper provides an overview of Moody's ESG Score Predictor, an analytical framework that can expand coverage gaps by generating a wide array of ESG and climate risk metrics.

    June 2021 Pdf Dr. Juan M. Licari, Dr. Olga Loiseau-Aslanidi, Simone Piscaglia, Brenda Solis Gonzalez
    Article

    Climate Risk Macroeconomic Forecasting - Executive Summary

    This paper describes Moody's Analytics approach to generating climate risk scenarios.

    March 2021 Pdf Moody's Analytics, Chris Lafakis, Dr. Juan M. Licari, Petr Zemcik
    Presentation

    Global Economic Outlook: December 2020

    Presentation slides from the Council of the Americas CFO Forum of 2020.

    December 2020 Pdf Dr. Juan M. Licari
    Whitepaper

    Continued Stress of the UK Mortgage Market

    We use the UK Mortgage Portfolio Analyzer to assess the adverse economic impact from of the global pandemic on a representative portfolio of the UK mortgages.

    October 2020 Pdf Dr. Juan M. Licari, Petr Zemcik
    Whitepaper

    COVID-19: Living Through the Stress Test of the U.K. Mortgage Market

    We use the Moody's Analytics Mortgage Portfolio Analyzer to quantify the impact of this significant economic stress on a portfolio of U.K. mortgages.

    May 2020 Pdf Dr. Juan M. Licari
    Whitepaper

    Analytical Solutions for Multi-Period Credit Portfolio Modelling

    A framework for credit portfolio modelling where exact analytical solutions can be obtained for key risk measures such as portfolio volatility, risk contributions to volatility, Value-at-Risk (VaR) and Expected Shortfall (ES).

    August 2019 Pdf Dr. Juan M. Licari
    Presentation

    Analytical Solutions for Multi-Period Credit Portfolio Modelling

    A framework for credit portfolio modelling where exact analytical solutions can be obtained for key risk measures such as portfolio volatility, risk contributions to volatility, Value-at-Risk (VaR) and Expected Shortfall (ES).

    August 2019 Pdf Dr. Juan M. Licari
    Article

    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
    Whitepaper

    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
    Article

    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
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