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August 2016

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.

In this Moody’s Analytics webinar, we will discuss:

  • Trends in corporate credit risk since the Brexit vote
  • Forecasts of corporate credit risk under different post-Brexit scenarios
  • A systemic analysis of credit risk in the event of a Brexit-related large bank failure
Related Insights

Lifetime Expected Credit Loss Modeling

In this webinar, David Fieldhouse, Director in Consumer Credit Analytics and Glenn Levine, Associate Director within the Capital Markets Research Group provide an overview of ECL quantification tools Moody’s Analytics offers to support CECL implementation across all major asset classes.

September 2017 WebPage Glenn Levine, David Fieldhouse

Lifetime Expected Credit Loss Modeling Presentation Slides

In this presentation, learn more about ECL quantification tools to support CECL implementation across all major asset classes, including dual-risk rating models (PD/LGD), credit cycle adjustment and scenario conditioning models, segment-level loss rate models and discounted cash flow (DCF) and non-DCF methodologies.

September 2017 Pdf Glenn Levine, David Fieldhouse

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.

Preparing for Defaults in China's Corporate Credit Market

In this webinar Moody’s Analytics discuss the Marco-economic and credit market conditions likely to affect the future risk of default for Chinese companies; way to measure and manage the default risk of Chinese firms, and strategies for early detection of default risk.

August 2016 WebPage David HamiltonGlenn Levine, Irina Baron

Angang Steel's Credit Risk Rises As Local Rating Agencies Remain Sanguine | Moody's Analytics

Angang Steel is one of China's largest steel producers, but in recent times slower economic growth, coupled with elevated steel production, have put downward pressure on prices and revenues.

June 2016 Pdf Irina Baron, Glenn Levine

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

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

A Simulated Stress Test of the Corporate Loan Portfolios of Australia's Largest Banks

This whitepaper discusses the findings of our simulation exercise to the corporate loan portfolios of Australia's five largest banks.

March 2016 Pdf Danielle Ferry, David HamiltonGlenn Levine

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.

Learnings from CCAR 2015 and Beyond

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

April 2015 WebPage Mark Zandi, Anna KraynDr. Samuel W. Malone

Leveraging Stressed EDFs to Automate the Stress Testing Process

Regulators globally are increasingly pushing banks to make stress testing a routine exercise. As the process evolves and regulatory scrutiny increases, banks will benefit from easily deployable tools that simplify and streamline that process.

September 2014 WebPage Danielle Ferry

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

Gauging the Risk of Europe's Banks: What Might the ECB Find?

The European Central (ECB) has begun a year-long comprehensive assessment of the Euro area banking system. The assessment is expected to include approximately 130 "significant" banks owning 85% of bank assets in the Euro area. The results will be closely watched by global market movers and stakeholders alike. In this paper, Moody's Analytics seeks to provide a default data-driven context for the ECB's exercise and a preview for what is to come.

December 2013 Pdf Danielle Ferry

Gauging the Risk of Europe's Banks: What Might the ECB Find?

The European Central (ECB) has begun a year-long comprehensive assessment of the Euro area banking system. In this webinar, Moody's Analytics seeks to provide a default data-driven context for the ECB's exercise and a preview for what is to come.

November 2013 WebPage Danielle Ferry, Dr. Juan M. Licari

Stressed EDF Credit Measures for Western Europe

In this paper we describe the modeling methodology behind Moody's Analytics Stressed EDF measures for Western Europe. Stressed EDF measures are one-year, default probabilities conditioned on holistic economic scenarios developed in a large-scale,structural macroeconometric model framework.

October 2012 Pdf Danielle Ferry, Dr. Tony Hughes, Min Ding

An Integrated Approach to Stress-Testing Corporate Credit Risk

In this Viewpoints, we briefly recount the methodology used to construct Stressed EDF measures and then highlight some of their strengths for macroeconomic stress testing. History shows that Stressed EDF measures are capable of accurately predicting credit risk under severe economic onditions. The degree of granularity afforded by these firm-level PDs increases flexibility and improves precision in credit analytics where portfolio composition is important. We also show that Stressed EDF measures can be used to simulate the macroeconomic stress testing exercises of supervisory authorities, such as the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR).

June 2012 Pdf Danielle Ferry

Stressed EDF™ Credit Measures for North America

In this paper we describe the modeling methodology behind Moody's Analytics Stressed EDF measures. Stressed EDF measures are one-year, default probabilities conditioned on holistic economic scenarios developed in a large-scale, structural macroeconometric model framework. This approach has several advantages over other methods, especially in the context of stress testing. Stress tests or scenario analyses based on macroeconomic drivers lend themselves to highly intuitive interpretation accessible to wide audiences – investors, economists, regulators, the general public, to name a few.

May 2012 Pdf Danielle Ferry, Dr. Tony Hughes, Min Ding

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

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