Economic Forecasting & Stress Testing Residual Vehicle Values
To effectively manage risk in your auto portfolios, you need to account for future economic conditions. Relying on models that do not fully account for cyclical economic factors and include subjective overlay, may produce inaccurate, inconsistent or biased estimates of residual values.
In this webinar, Tony Hughes of Moody’s Analytics presents a purely quantitative econometric method for determining residual vehicle values.
Related Insights
Market Share-Based Credit AnalysisA counterpoint to traditional credit performance analyses. |
Using a Market Share-Based Approach for Credit Loss ForecastingCall Report Forecast Webinar |
|
Article
The Data Revolution: Gaining Insight from Big and Small DataIn this article, we explore the importance of small data in risk modeling and other applications and explain how the analysis of small data can help make big data analytics more useful. |
|
Article
The Effect of Ride-Sharing on the Auto IndustryMany in the auto industry are concerned about the impact of ride-sharing. In this article analyze the impact of ride-share services like Uber and Lyft on the private transportation market. |
|
Article
The Effect of Ride-Sharing on the Auto IndustryIn this article, we consider some possible long-term ramifications of ride-sharing for the broader auto indust |
|
Presentation
"How Will the Increase in Off-Lease Volume Affect Used Car Residuals?" Presentation SlidesIncreases in auto lease volumes are nothing new, yet the industry is rife with fear that used car prices are about to collapse. In this talk, we will explore the dynamics behind the trends and the speculation. The abundance of vehicles in the US that are older than 10 years will soon need to be replaced, and together with continuing demand from ex-lessees, this demand will ensure that prices remain supported under baseline macroeconomic conditions. |
|
Webinar-on-Demand
How Will the Increase in Off-Lease Volume Affect Used Car Residuals?Increases in auto lease volumes are nothing new, yet the industry is rife with fear that used car prices are about to collapse. In this talk, we will explore the dynamics behind the trends and the speculation. |
|
Webinar-on-Demand
The Value of Granular Risk Rating Models for CECLGranular risk rating models allow creditors to understand the credit risk of individual loans in a portfolio, facilitating underwriting and monitoring activities. In this webinar we will outline the value of granular risk rating models for CECL. |
|
Article
Improved Deposit Modeling: Using Moody's Analytics Forecasts of Bank FinancialIn this article we demonstrate how to combine our forecasts of bank financial statements with internal data to produce forecasts that better reflect the macroeconomic environment posited under the various Comprehensive Capital Analysis and Review scenarios. |
|
Article
Are Deposits Safe Under Negative Interest Rates?In this article, I take a theoretical look at negative interest rates as a means to stimulate the economy. I identify key factors that may influence the volume of deposits held in the economy. I then empirically describe the unique situation of negative interest rates. |
|
Whitepaper
AutoCycle™: Residual Risk Management and Lease Pricing at the VIN LevelWe demonstrate the core capabilities of our vehicle residual forecasting model to capture aging and usage effects and illustrate the material implications for car valuation of different macroeconomic scenarios such as recessions and oil price spikes. |
|
Article
Benefits & Applications: AutoCycle - Vehicle Residual Value Forecasting SolutionWith 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. |
|
Article
Alternatives to Long-Term Car Loans?In this article, our experts focus on two recent developments: how to manage lease-term or model-year concentration risk and how to find affordable finance options for subprime or near-prime sector. |
|
Article
Small Samples and the Overuse of Hypothesis TestsWith powerful computers and statistical packages, modelers can now run an enormous number of tests effortlessly. But should they? This article discusses how bank risk modelers should approach statistical testing when faced with tiny data sets. |
Do Banks Need Third-Party Models?This article discusses the role of third-party data and analytics in the stress testing process. Beyond the simple argument that more eyes are better, we outline why some stress testing activities should definitely be conducted by third parties. |
|
Webinar-on-Demand
Stress Testing Used-Car PricesIn this presentation we presented a quantitative methodology for incorporating economic factors into car price forecasts. |
|
Whitepaper
Systemic Risk Monitor 1.0: A Network ApproachIn this article, we introduce a new risk management tool focused on network connectivity between financial institutions. |
|
Article
Measuring Systemic Risk in the Southeast Asian Financial SystemThis 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. |
|
Article
Multicollinearity and Stress TestingMulticollinearity, the phenomenon in which the regressors of a model are correlated with each other, apparently causes a lot of confusion among practitioners and users of stress testing models. This article seeks to dispel this confusion. |
|
Article
What if PPNR Research Proves Fruitless?This article addresses how banks should look to sources of high-quality, industry-level data to ensure that their PPNR modeling is not only reliable and effective, but also better informs their risk management decisions. |
|
Presentation
Forecasts and Stress Scenarios of Used-Car PricesThe market for new cars is growing strongly and lessors need forecasts and associated stress scenarios of future vehicle value to set the initial terms, to monitor the performance of their book and to stress-test cash flows. This presentation offers insight and tools to help lessors in this pursuit. |
|
Whitepaper
Vehicle Equity and Long-Term Car LoansIn this article, we consider the increasing prevalence of long term loans and use the AutoCycle™ wholesale price forecasts to uncover equity held by the borrower under different economic scenarios. |
|
Article
Modeling the Entire Balance Sheet of a BankThis article explores the interaction between a bank’s various models and how they may be built into a comprehensive stress testing framework, contributing to the overall performance of a bank. |
|
Article
Is Now the Time for Tough Stress Tests?The banking industry needs a regulatory framework that is carefully designed to maximize economic outcomes, both in terms of stability and growth, rather than one dictated by past banking sector excesses. |
|
Whitepaper
Stressed EDF Credit Measures for Western EuropeIn 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. |
|
Whitepaper
Stressed EDF™ Credit Measures for North AmericaIn 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. |
|
Whitepaper
The Moody's CreditCycle Approach to Loan Loss ModelingThis whitepaper goes in-depth into the Moody's CreditCycle approach to loan loss modeling. |
Previewing This Year's Stress Tests Using the Bank Call Report ForecastsTo capture a bank’s real capacity to withstand an adverse economic scenario, the best approach is to start with forecasts produced only for accuracy and then apply a conservative overlay as regulation requires. Such forecasts capture mitigating forces such as flight to safety.
WebPage
Dr. Tony Hughes, Brian Poi
|
Are $10 Billion-to-$50 Billion Banks Overregulated?Moody’s Analytics tests whether relaxing capital standards for $10 billion-to-$50 billion banks will boost banking and encourage greater lending.
WebPage
Dr. Tony Hughes
|
|
Article
Stress Testing and Strategic Planning Using Peer AnalysisBanks face the difficult task of building hundreds of forecasting models that disentangle macroeconomic effects from bank-specific decisions. We propose an approach based on consistently reported industry data that simplifies the modeler’s task and at the same time increases forecast accuracy.
WebPage
Dr. Tony Hughes, Brian Poi
|
