EBA Scenarios for the 2016 EU-wide Stress Test
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.
Related Articles
Climate Change: Impact on the Auto Industry Credit Risk Depends on a Climate Scenario
Climate Change: Impact on the Auto Industry Credit Risk Depends on a Climate Scenario
Quantifying the Impact of Climate on Corporate Credit Risk
This paper explains the functionality, methodology, and underlying data driving the Climate-Adjusted EDF framework for our physical and transition risk models. Resulting Climate-Adjusted EDF credit measures can be used for stress-testing, loan origination, credit monitoring, asset allocation, and disclosure.
Vulnerabilities against Economic Headwinds: Prospects for the UK Corporate Sector
The current economic conditions couldn’t be more challenging for UK corporates. A mere eight months have passed since the government lifted all COVID-related restrictions. Britain then entered into a period of inflation, accelerated by the Russia-Ukraine military conflict.
Forecasting Credit Risk for the Cruise Industry: Can It Get Worse in the Asia-Pacific?
Over the past two years, the cruise industry in the Asia-Pacific has seen a surge in corporate credit risk, pushing several companies to default. Using Genting HK as an example, we demonstrate analytics in action by capturing deteriorating credit risk 20 months prior to the firm’s liquidation filing.
The ECB 2022 Climate Stress Test: Location Matters for Dutch Mortgages
The ECB released a scenario-based framework for climate stress testing across Europe in early 2022. In this analysis, we examine the effect of the climate scenarios on Dutch mortgages using Moody’s Mortgage Portfolio Analyzer and Moody’s location-specific ESG scores.
Using ESG Score Predictor: A methodological framework to estimate ESG scores
ESG Score Predictor models provide an analytical solution for generating a wide range of comparable and standardized metrics for assessing the potential degree to which companies take into account and manage ESG and climate risks.
Climate-Adjusted Risk Metrics for UK Mortgage Portfolios
Monetary authorities have started requesting financial institutions account for changes in credit risk due to climate change. We combine an acute climate event with a chronic, physical risk climate change scenario and analyze the impact on credit risk losses for UK residential mortgages via Portfolio Analyzer.
Embedding Interest Rate Risk into Stress Testing: Macroeconomic Scenarios in Behavioral Models
This paper provides an analytical approach to designing macroeconomic scenarios and behavioral models for measuring the interest rate risk in the banking book (IRRBB).
ESG Score Predictor: Applying a Quantitative Approach for Expanding Company Coverage
Assessing Environmental, Social, Governance (ESG) and climate risk is often subject to data constraints, including limited company coverage. This paper provides an overview of Moody’s ESG Score Predictor, an analytical framework that can expand coverage gaps by generating a wide array of ESG and climate risk metrics.
U.K. Mortgage Market Expectations: A Midsummer Night's Dream or Nightmare?
We assess the impact of the COVID-19 pandemic on a representative U.K. mortgage portfolio.
