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November 2015

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.

Related Insights
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 ChinchalkarDr. 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

Market Risk Stress Testing Models

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.

December 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
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