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April 2015

In this webinar, Moody's Analytics experts revisit the CCAR 2015 scenarios, review industry results and discuss how to identify and quantify Systemic Risk.

Related Insights

What Should Firms be Considering for CECL that They Might Not be Today?

In this video, Anna Krayn discusses her observations on how institutions can prepare for CECL implementation, including improvements to technology and processes and conducting quantitative impact studies.

October 2017 WebPage Anna Krayn

What are Some of the Biggest CECL Implementation Challenges You are Observing in the Industry Today?

In this video, Anna Krayn explains the key challenges institutions are facing with data, modeling, governance, and technology due to the new CECL accounting standard.

October 2017 WebPage Anna Krayn

Stressed Realized LGDs: Forecasting Recovery Rates under Alternative Macroeconomic Scenarios

This article proposes a method of modeling realized losses given default (LGDs) as a function of macroeconomic drivers for stress testing purposes.

October 2017 WebPage Dr. Samuel W. MaloneDr. Martin A. Wurm

The Economic Impact of Hurricane Irma

Hurricane Irma will make this among the costliest hurricane seasons in U.S. history. Still, natural disasters do not have to be economic disasters, but policy response is critical. Hurricane Irma will have a significant effect on the Florida economy and leave a temporary mark on the U.S. economy.

September 2017 WebPage Mark Zandi, Adam Kamins, Ryan Sweet, Dan White, Kwame Donaldson

Expected Loss Quantification: Factors that Will Move the Needle

In this webinar, Anna Krayn and Masha Muzyka discuss the importance of accounting for risk differentiation and rank ordering for pass-rated loans, common flaws of risk rating systems and the potential financial impact on ALLL.

September 2017 WebPage Anna KraynMasha Muzyka

Expected Loss Quantification: Factors that Will Move the Needle Presentation Slides

In this presentation, Anna Krayn and Masha Muzyka discuss the importance of accounting for risk differentiation and rank ordering for pass-rated loans, common flaws of risk rating systems and the potential financial impact on ALLL.

September 2017 Pdf Anna KraynMasha Muzyka

The Economic Impact of Hurricane Harvey

Mark Zandi and the Moody’s Analytics team examine the economic impact on the national and regional economy, including the effect on GDP, corporate profits, gas prices, as well as property damage estimates for infrastructure, real estate and vehicles.

September 2017 WebPage Mark Zandi, Adam Kamins, Ed Friedman, Ryan Sweet, Chris Lafakis

Getting Ready for CECL - Why Start Now? Presentation Slides

The FASB's new impairment standards won't take effect until 2020, but institutions should start planning now. This presentation outlines key considerations for early CECL preparation, including: main challenges; expectations of auditors, regulators, and investors; planning in firms of varying sizes; and how to get started.

September 2017 Pdf Anna Krayn

Modeling Stressed LGDs for Macroeconomic Scenarios

In this article, we model stressed LGDs as a function of macroeconomic drivers and find that LGDs sometimes lead PDs by several months during crisis periods.

Macro Outlook: Good (But Risky) Times

In this presentation, Mark Zandi presents his outlook for the global economy.

May 2017 WebPage Mark Zandi

CECL Methodologies Q&A

American Banker spoke with Anna Krayn from Moody's Analytics about CECL, the new FASB accounting standards on current expected credit loss.

February 2017 Pdf Anna Krayn

Economic Impact of a Trump Presidency

Mark Zandi and the Moody’s Analytics team examine the economic impact stemming from potential policy changes under President-Elect Donald Trump. They detail the assumptions behind three new Donald Trump specific forecast scenarios and demonstrate plausible outcomes on economic performance.

December 2016 WebPage Mark Zandi

Post-US Presidential Election Outlook

Mark Zandi and Ryan Sweet discuss the outcome of the U.S. presidential election, what must be done early in the new president’s term to help the economy, and the implication of the election outcome on the fiscal outlook and growth.

November 2016 WebPage Ryan Sweet, Mark Zandi

Getting Ready for CECL

The FASB’s new impairment standards won’t take effect until 2020, but institutions should start planning now. This webinar outlines key considerations for early CECL preparation, including: main challenges; expectations of auditors, regulators, and investors; planning in firms of varying sizes; and how to get started.

October 2016 WebPage Anna KraynEmil Lopez

CECL Spotlight with Anna Krayn

As firms begin their implementation process for CECL, there are still more questions than answers as firms are beginning to plan for eventual implementation. However, there are some key benefits to early CECL adoption. In this live interview, Anna Krayn gives her perspective and recommendations.

September 2016 WebPage Anna Krayn

The Long Road to CECL: Implementation Considerations

In this video cast, we will discuss the implications of the final CECL standard and approaches to implementation.

September 2016 WebPage Anna KraynEmil Lopez

CECL: Disclosures and Timelines

In this webinar, we explore the implications of new disclosure requirements and the effective dates for CECL implementation. We explain why banks should start preparing for CECL now and what are the advantages to early implementation.

September 2016 WebPage Anna KraynEmil Lopez

CECL: The Road to CECL

In this webinar, we discuss what the new CECL standard is and why the FASB is changing Impairment Accounting. Key topics include the timeline for implementation, key differences are in the new impairment models compared with the existing ones, and how the allowance calculation process is likely to change.

September 2016 WebPage Anna KraynEmil Lopez

The Long Road to CECL: Implementation Considerations Presentation Slides

As firms prepare for CECL, there are still many questions about the best approaches to implementation and how the regulatory requirements will impact adoption. In this webcast, we answer practitioners questions and provide suggested approaches for implementation.

September 01, 2016 Pdf Anna KraynEmil Lopez

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

Assessing the impact of the EU-Wide Stress Test Results 2016

In this webinar, Dr. Mark Zandi, Chief Economist and Dr. Dimitrios Papanastasiou, Director, Stress Testing Specialist, discuss the results of the latest stress tests.

August 2016 WebPage Mark Zandi, Dimitrios Papanastasiou

Brexit - Economic & Financial Aftermath

The U.K. stunned the world by voting to leave the EU. After months of bruising campaigning, British voters have chosen to reshape their country’s place in the world. Listen to Dr. Mark Zandi, Chief Economist of Moody’s Analytics, as he discusses the economic & financial aftermath of the #Brexit.

June 2016 WebPage Mark Zandi

Implications of the FASB's New Credit Loss Impairment Standard

On June 16, FASB issued the much anticipated financial instruments impairment standards update. The implications of this standard are significant and will change the way credit losses are measured for most financial assets (e.g. receivables, debt securities and loans).

June 2016 WebPage Anna KraynChristian Henkel

DFAST Quick Takes: Looking Toward CCAR Results

This article outlines recent approaches to managing credit risk when facing regulatory capital requirements. We explore how institutions should best allocate capital and make economically-optimized investment decisions under regulatory capital constraints, such as those imposed by Basel or CCAR-style rules.

June 2016 WebPage Anna KraynDavid LittleEd Young

Reading the Tea Leaves of Recent Regulatory Guidance

In this article, we review the common themes reflected in recent regulatory guidelines released by the Federal Reserve and the BCBS.

June 2016 WebPage Anna KraynDavid LittleEd Young

Solving the Counterparty Default Scenario Problem

This article introduces Credit Risk Cascades, a new model that forecasts probability of default of financial institutions under compound scenarios. The model seamlessly integrates macroeconomic, counterparty, and systemic risk projections.

June 2016 WebPage Dr. Samuel W. Malone

Benefits & Applications: AutoCycle - Vehicle Residual Value Forecasting Solution

With auto leasing close to record highs, the need for accurate and transparent used-car price forecasts is paramount. Concerns about the effect of off-lease volume on prices have recently peaked, and those exposed to risks associated with vehicle valuations are seeking new forms of intelligence. With these forces in mind, Moody's Analytics AutoCycle™ has been developed to address these evolving market dynamics.

May 2016 Pdf Dr. Tony HughesDr. Samuel W. MaloneMichael Vogan, Michael Brisson

Reading the Tea Leaves of Recent Regulatory Guidance

December 2015 was a busy month for regulatory agencies and global standard setters. Throughout the year the industry has been waiting for additional guidance on high impact topics including capital planning and allowance methodologies, and in the final stretch of 2015 both the Federal Reserve and the Basel Committee on Banking Supervision (BCBS) complied. This paper will primarily focus on common themes in the two releases.

January 2016 Pdf Anna KraynEd YoungDavid Little

Using a Risk Appetite Framework to Align Strategy and Risk

In this article, we provide an overview of some common problems organizations face and introduce a solution to develop an integrated, transparent, measurable, and actionable Risk Appetite Framework.

December 2015 WebPage Anna KraynEd Young

From the Editor

Post-crisis regulatory drivers are giving rise to better risk management practices that will provide a competitive advantage. With this in mind, this edition of Risk Perspectives looks at the future of risk management, and the best practices of today that will form the successful risk management practices of the future.

December 11, 2015 WebPage Anna Krayn

Systemic Risk Monitor 1.0: A Network Approach

In this article, we introduce a new risk management tool focused on network connectivity between financial institutions.

Measuring Systemic Risk in the SE Asia Financial System

In this webinar, Moody’s Analytics combines the techniques of network analysis with the richness of Moody’s CreditEdge™ platform to compute systemic risk measures spanning the last 20 years for five major southeast Asian economies.

June 2015 WebPage David HamiltonDr. Samuel W. Malone

Measuring Systemic Risk in the Southeast Asian Financial System

This article looks back at the Asian financial crisis of 1997-1998 and applies new methods of measuring systemic risk and pinpointing weaknesses, which can be used by today’s financial institutions and regulators.

Comparing DFAST 2014 Estimates for CCAR Banks Under the FRB's Severely Adverse Scenario

This quantitative analysis of CCAR 2014 Severely Adverse scenarios, Moody's Analytics finds that the Federal Reserve Bank's (FRB's) and banks' own modeled estimates of capital ratios, revenue, net income, and loan credit losses are generally well aligned, although variations in all measures and across all banks are evident. In addition, the FRB's estimates are generally more conservative than those of the individual banks, reflecting differences in the FRB's industry-based models vs. the banks' portfolio specific models, treatment of missing or invalid data in the FRB's modeling approach, and assumptions about projected balance sheet volumes. The wide variation among bank modeled estimates and their overall alignment with FRB modeled estimates argues against banks targeting general industry benchmarks (such as average loss rates) and in favor of building models around their own business models and portfolio characteristics.

July 2014 Pdf Danielle Ferry, Daniel BrownAnna Krayn

Learn the Fundamentals of Managing Liquidity Under U.S. Basel III Webinar

In this webinar, recorded on May 1, 2014 Anna Krayn and Olivier Brucker discuss key aspects of the planned US Basel III liquidity regulations, critical challenges in implementing these regulations, and a best practice framework for delivering compliance with the US Basel III directive.

May 2014 WebPage Anna Krayn

Learn the Fundamentals of Managing Liquidity Under Basel III Presentation

Changes to liquidity management regulations present significant challenges for organizations based in the United States. In this presentation, our experts discuss key aspects of the planned US Basel III liquidity regulations, critical challenges in implementing these regulations, and a best practice framework for delivering compliance with the US Basel III directive.

May 2014 Pdf Anna Krayn

When CCAR Met Basel

In this article, we discuss where CCAR and Basel III intersect, with a particular focus on the data, analytics, and reporting layers of a sound CCAR/Basel III IT architecture, and why banks should address both within an integrated platform to meet, and go beyond, regulatory compliance.

November 2013 WebPage Anna Krayn, Michael Richitelli

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

Reverse Stress Testing: Challenges and Benefits

Reverse stress testing is becoming recognised throughout the world for its benefits. This presentation explains what reverse stress testing is and what it can achieve, along with the challenges it presents. Here we show you why reverse stress testing can lead to a deeper understanding of an organisation's susceptibility to risk and why it is a valuable tool for any risk management strategy.

November 2010 Pdf Dr. Christian Thun, Dr. Juan M. Licari, Mark Zandi

Beyond the Regulation: Exploring an Innovative Tool to Gauge Counterparty Credit Risk

In this article, we highlight a new network-based toolkit that helps firms deal with associated regulatory requirements related to single-counterparty credit limits.