April 2016

The EBA has released its 2016 EU-wide Stress Test. This webinar dissects the scenarios, considers possible narratives driving them and their probability of occurring.

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Moody's Analytics Webinar: Effectively Preparing for the EBA's New Definition of Default by 2020

The EBA has set a new standard for the definition of default which will require banks to make significant adjustments to their measures, models and processes by 31 December 2020.

July 03, 2019 WebPage Petr Zemcik
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Moody's Analytics Webinar: Effectively Preparing for the EBA's New Definition of Default

The EBA has set a new standard for the definition of default which will require banks to make significant adjustments to their measures, models and processes by 31 December 2020.

July 2019 WebPage Petr Zemcik

Economic Forecasting and Scenario Generation Process

We describe the framework of the Moody's Analytics Global Macroeconomic Model and how its used in our forecasting process.

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Weekly Market Outlook: Internal Funds Outrun Corporate Debt by Widest Margin Since 2011

Lately, financial markets have grudgingly withstood the broad imposition of tariffs on steel and aluminum. Not even the resignation of the highly respected Gary Cohn was capable of triggering a jarring sell-off of equities. Markets took some comfort from President Trump's indication that countries might be granted exemptions from the tariffs if they resolve issues that led to the imposition of tariffs.

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Moody's Analytics Webinar: Briefing on the EBA Scenarios

The European Banking Authority has released its scenarios for the 2018 EU-wide stress test. Join our experts as they analyze the EBA’s scenario assumptions, narratives driving them and compare them to other regulatory stress tests.

February 14, 2018 WebPage Dr. Olga Loiseau-Aslanidi, Petr Zemcik
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Weekly Market Outlook: Higher Yields and Lower Equities Might Yet Swell Credit Risk

It has been a volatile week for financial markets. After shrugging off an earlier ascent by the 10-year Treasury yield from year-end 2017's 2.41% to January 26's 2.66% and advancing by 7.1%, the market value of U.S. common stock has since sunk by 1.6% in reaction to a climb by the 10-year Treasury yield to 2.77%. The deeper post-January 26 drop of 3.7% by the interest-sensitive PHLX index of housing-sector share prices underscores the importance of higher Treasury bond yields to the latest retreat by equities. Earlier, or from year-end 2017 through January 26, the index of housing sector share prices was up by 4.9%, which trailed the accompanying advance by the overall equity market.

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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.

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IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios

Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody’s Analytics economic scenarios.

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IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios Presentation Slides

In this presentation, Dr. Olga Loiseau-Aslanidi and Alaistair Chan discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.

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Assessing the 2016 PRA Stress-Test Scenarios

In this webinar examine the supervisory scenarios published by the Prudential Regulation Authority to help you better understand and prepare for this year’s stress-testing exercise.

May 2016 WebPage Petr Zemcik
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