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    Market Risk Stress Testing Models

    December 2015

    In this presentation we present 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.

    Related Articles
    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.

    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
    Article

    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
    Article

    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
    Presentation

    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
    Presentation

    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
    Webinar-on-Demand

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

    In this presentation, we 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.

    November 2015 WebPage Dr. Juan M. Licari
    Webinar-on-Demand

    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.

    September 2015 WebPage Manuele Iorio, Dr. Juan M. Licari
    Article

    Multi-Period Stochastic Scenario Generation

    Robust models are currently being developed worldwide to meet the demands of dynamic stress testing. This article describes how to build consistent projections for standard credit risk metrics and mark-to-market parameters simultaneously within a single, unified environment.

    May 2015 WebPage Dr. Juan M. Licari, Dr. Gustavo Ordóñez-Sanz
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