Learnings from CCAR 2015 and Beyond

By Mark Zandi, Anna Krayn, Dr. Samuel W. Malone

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.

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Article Weekly Market Outlook: Significant Differences, Eerie Similarities The U.S. business cycle has entered its boom phase. This is a period that typically comes closer to the end of the cycle, just prior to a recession. It is characterized by robust economic growth, tightening labor and product markets, intensifying wage and price pressures, monetary tightening, and higher interest rates. Another feature of the boom phase of a business cycle is excessive risk-taking somewhere in the financial system. This fuels the boom and is eventually at the center of the subsequent bust. Subprime mortgage loans were the obvious culprit a decade ago, runaway internet stocks that pumped up a stock market bubble were the problem in the early-2000s recession, and the savings and loan crisis incited the early 1990s downturn. August 2018 Pdf John Lonski, Yukyung Choi, Njundu Sanneh, Mark Zandi, Ryan Sweet, Barbara Teixeira Araujo, Katrina Ell, Faraz Syed
Trade War Scenarios Fill out this form to request more information on our Trade War Scenarios. Moody's Analytics scenarios are the foundation of risk management, compliance and strategic planning needs July 17, 2018 WebPage Mark Zandi
Webinar - Forecasting Innovations: Moody's Analytics Global Macroeconomic Model and Scenario Studio Mark Zandi and the Moody’s Analytics team discuss recent changes to our Global Macroeconomic Model, and provide an overview of Scenario Studio. June 28, 2018 WebPage Mark Zandi, Dr. Richard Cross, Mark Hopkins
Webinar-on-Demand Global Macroeconomic Model and Scenario Studio In this webinar, Mark Zandi and the Moody’s Analytics team discuss recent changes to our Global Macroeconomic Model, and provide an overview of Scenario Studio, our new platform for custom scenario development. Learn more: www.moodysanalytics.com/scenariostudio June 2018 WebPage Mark Zandi, Mark Hopkins
Presentation CECL: Adapting to Adopt Our subject matter experts, Chris Henkel, Senior Director, and Anna Krayn, Senior Director, discuss critical steps in meeting the new CECL standard. April 2018 Pdf Christian Henkel, Anna Krayn
Webinar-on-Demand CECL: Adapting to Adopt Our subject matter experts, Chris Henkel, Senior Director, and Anna Krayn, Senior Director, discuss critical steps in meeting the new CECL standard. April 2018 WebPage Christian Henkel, Anna Krayn
Down the Rabbit Hole: NAFTA Scenarios A centerpiece of presidential candidate Trump's economic agenda was to take a hard line on our trading partners, particularly those with which the U.S. runs a trade deficit. China and Mexico were the object of his strongest recriminations, and he argued that large tariffs should be slapped on their exports to the U.S. Trump also labeled the Trans-Pacific Partnership and North American Free Trade Agreement as among as the worst trade deals ever. April 17, 2018 Pdf Mark Zandi
Webinar-on-Demand President Trump's Tariffs – Assessing the Impact of Various Trade Scenarios In this webinar, Mark Zandi and our team of economists use the Moody’s Analytics Global Macroeconomic Model to assess the impact of various trade scenarios. April 2018 WebPage Mark Zandi, Dr. Cristian deRitis, Marisa DiNatale
Moody's Analytics Webinar: President Trump's Tariffs – Assessing the Impact of Various Trade Scenarios In this webinar, Mark Zandi and our team of economists use the Moody’s Analytics Global Macroeconomic Model to assess the impact of various trade scenarios. April 11, 2018 WebPage Mark Zandi
Weighing the Wealth Effect In this paper, Mark Zandi and the Moody's Analytics team discuss the impact of the wealth effect on economic expansion and quantify econometric estimates based on data from Visa and Equifax. March 28, 2018 WebPage Mark Zandi
Weighing the Wealth Effect The importance of the wealth effect has significant implications for the economic expansion. In this paper, we quantify the wealth effect based on unique retail sales data and data on household stock and financial asset holdings. We examine differences in the wealth effect across retail spending categories, the lags in the wealth effect, and possible asymmetries in the wealth effect due to rising versus falling asset prices. March 21, 2018 Pdf Mark Zandi
Webinar-on-Demand Briefing on the CCAR Scenarios The Federal Reserve has released its scenarios for the 2018 CCAR stress test. Join Mark Zandi and the Moody’s Analytics team as they discuss the narratives behind the Fed’s scenarios under forecasts of more than 1,500 detailed economic variables. February 2018 WebPage Mark Zandi
Moody's Analytics Webinar: Briefing on the CCAR Scenarios The Federal Reserve has released its scenarios for the 2018 CCAR stress test. Join Mark Zandi and the Moody’s Analytics team as they discuss the narratives behind the Fed’s scenarios under forecasts of more than 1,500 detailed economic variables. February 01, 2018 WebPage Mark Zandi, Ed Friedman, Dr. Sohini Chowdhury
Webinar-on-Demand 2018 U.S. Economic Outlook Mark Zandi, Chief Economist, and Ryan Sweet, Director of Real Time Economics, share Moody’s Analytics forecast and discuss the factors that could impact the economy’s performance. January 2018 WebPage Ryan Sweet, Mark Zandi
Webinar-on-Demand Housing Takes a Hit In this webinar, we consider the prospects for the housing market in 2018 in light of the recent changes to the tax code. January 2018 WebPage Andres Carbacho-Burgos, Mark Zandi
Webinar-on-Demand Weighing the Wealth Effect In this webinar, Mark Zandi and the Moody's Analytics team discuss the impact of the wealth effect on economic expansion and quantify econometric estimates based on data from Visa and Equifax. December 2017 WebPage Scott Hoyt, Brian Poi, Mark Zandi
Webinar-on-Demand Economic Consequences of Republican Tax Legislation In this webinar, we assess the implications of the imminent change, with a focus on who benefits most and who is likely to be hurt. The discussion entails a look at both the national effects and the regional implications. December 2017 WebPage Chris Lafakis, Adam Kamins, Dan White, Mark Zandi
Interview 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
Interview 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
Article 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. Malone, Dr. Martin A. Wurm
Webinar-on-Demand The Economic Impact of Hurricane Irma In this webinar replay, Mark Zandi and the Moody’s Analytics team examine the economic impact on the national and regional economy. September 2017 WebPage Mark Zandi, Adam Kamins, Ryan Sweet, Dan White, Kwame Donaldson
Webinar-on-Demand 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 Krayn, Masha Muzyka
Presentation 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 Krayn, Masha Muzyka
Webinar-on-Demand The Economic Impact of Hurricane Harvey In this webinar replay, 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
Presentation 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
Article 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. July 2017 WebPage Dr. Samuel W. Malone, Dr. Martin A. Wurm
Presentation Macro Outlook: Good (But Risky) Times In this presentation, Mark Zandi presents his outlook for the global economy. May 2017 WebPage Mark Zandi
Interview 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
Webinar-on-Demand 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
Webinar-on-Demand 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
Webinar-on-Demand 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 Krayn, Emil Lopez
Webinar-on-Demand CECL Spotlight with Anna Krayn Listen in as Anna Krayn provides an overview on some key benefits of early CECL adoption. September 2016 WebPage Anna Krayn
Webinar-on-Demand 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 Krayn, Emil Lopez
Webinar-on-Demand 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 Krayn, Emil Lopez
Webinar-on-Demand 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 Krayn, Emil 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 Krayn, Emil Lopez
Webinar-on-Demand 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
Webinar-on-Demand 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, Dr. Dimitrios Papanastasiou
Webinar-on-Demand 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
Article 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 Krayn, Christian Henkel
Article 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 Krayn, David Little, Ed Young
Article 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 Krayn, David Little, Ed Young
Article 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
Article 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 Hughes, Dr. Samuel W. Malone, Michael Vogan, Michael Brisson
Article 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 Krayn, Ed Young, David Little
Article 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 Krayn, Ed 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
Whitepaper 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. July 2015 Pdf Dr. Tony Hughes, Dr. Samuel W. Malone
Webinar-on-Demand 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 Hamilton, Dr. Samuel W. Malone
Article 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. May 2015 WebPage David Hamilton, Dr. Tony Hughes, Dr. Samuel W. Malone
Whitepaper 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 Brown, Anna Krayn
Presentation 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
Webinar-on-Demand 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
Article 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
Article 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
Presentation 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
Article 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. WebPage Dr. Samuel W. Malone, Ed Young
Anatomy of a NAFTA Deal This paper assesses the economic impact of a new NAFTA and the potential economic fallout if the negotiations and NAFTA fail. Pdf Mark Zandi
Trump Trade War Using the Moody's Analytics model of the global economy, we consider the economic fallout of an escalating Trump trade war. Pdf Mark Zandi
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