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April 2016

In this webinar, we discuss how institutions can overcome challenges to ensure that risk appetite can be monitored as well as key analytic metrics which can be leveraged for strategic decision-making.

Related Insights

Stress Testing Evolution: A Scalable Approach to Maximize Your Investment

Institutions have spent an enormous amount of time, energy, and capital meeting stress testing expectations set by regulators. However, with established and approved methodologies banks have coalesced around a standard for loss and resource estimation approaches. If designed properly, a stress testing framework can be a powerful risk management and strategic planning tool providing banks with a distinct competitive advantage. This webinar discusses how to leverage stress testing processes for tactical and strategic decision-making.

November 2017 WebPage Ed YoungJoy Hart

CECL Treatment for the Investment Portfolio

In this presentation, our experts discussed common CECL considerations for structured credit and answer key questions on how to provide CECL estimates for structured credit.

April 2017 Pdf David KurnovNihil Patel

Investment Portfolios CECL Methodologies

In this fifth webinar in our series, our experts discussed common CECL considerations for structured credit and answered key questions on how to provide CECL estimates for structured credit.

April 2017 WebPage David KurnovNihil Patel

Expanding Sensitivity Analysis and Stress Testing for CECL

To ease the transition to CECL, firms can leverage and align existing risk management practices. Institutions are in the process of trying to determine which methodologies can be expanded to meet the CECL impairment model requirements, while retaining a consistency between other regulatory and risk management activities.

December 2016 WebPage Nihil Patel, Michael Gullette

Expanding Sensitivity Analysis and Stress Testing for CECL

To ease the transition to CECL, firms can leverage and align existing risk management practices. Institutions are in the process of trying to determine which methodologies can be expanded to meet the CECL impairment model requirements, while retaining a consistency between other regulatory and risk management activities.

December 2016 Pdf Nihil Patel

Leveraging Basel and Stress Testing Models for CECL

In this webinar, expert Nihil Patel, outlines how institutions can leverage Basel and Stress Testing models to comply with FASB’s new impairment accounting standards.

October 2016 WebPage Nihil Patel

Modeling IFRS 9 Impairments – Tactical Implementation Approaches

Learn how Moody’s Analytics is helping institutions of all sizes address the challenges of implementing the IFRS 9 impairment model.

October 2016 WebPage Burcu Guner, Nihil Patel

Leveraging Basel and Stress Testing Models for CECL Presentation Slides

In this presentation, expert Nihil Patel, outlines how institutions can leverage Basel and Stress Testing models to comply with FASB's new impairment accounting standards.

October 2016 Pdf Nihil Patel

Managing Credit Portfolio Risk Under Basel III: Integrating Regulatory Capital with Economic Risks

In this webinar we will discuss different approaches in credit portfolio management, dangers of only using regulatory capital when optimizing your portfolio, how to appropriately incorporate regulatory capital considerations, and metrics to consider when optimizing your portfolio and setting appropriate limits.

June 2016 WebPage Nihil Patel

DFAST Quick Takes: Looking Toward CCAR Results

This article outlines recent approaches to managing credit risk when facing regulatory capital requirements. We explore how institutions should best allocate capital and make economically-optimized investment decisions under regulatory capital constraints, such as those imposed by Basel or CCAR-style rules.

June 2016 WebPage Anna KraynDavid LittleEd Young

Reading the Tea Leaves of Recent Regulatory Guidance

In this article, we review the common themes reflected in recent regulatory guidelines released by the Federal Reserve and the BCBS.

June 2016 WebPage Anna KraynDavid LittleEd Young

Implementing an IFRS 9 Solution: Challenges Faced by Financial Institutions

This article provides an overview of the new standard and analyzes the major challenges financial institutions will face in ensuring IFRS 9 compliance.

June 2016 WebPage Cayetano Gea-CarrascoNihil Patel

Reading the Tea Leaves of Recent Regulatory Guidance

December 2015 was a busy month for regulatory agencies and global standard setters. Throughout the year the industry has been waiting for additional guidance on high impact topics including capital planning and allowance methodologies, and in the final stretch of 2015 both the Federal Reserve and the Basel Committee on Banking Supervision (BCBS) complied. This paper will primarily focus on common themes in the two releases.

January 2016 Pdf Anna KraynEd YoungDavid Little

Using a Risk Appetite Framework to Align Strategy and Risk

In this article, we provide an overview of some common problems organizations face and introduce a solution to develop an integrated, transparent, measurable, and actionable Risk Appetite Framework.

December 2015 WebPage Anna KraynEd Young

Linking Stress Testing and Portfolio Credit Risk

Nihil Patel, Senior Director, provides insight on how to link stress testing with portfolio credit risk for a comprehensive risk management solution.

October 2013 Pdf Nihil Patel

Applications of GCorr™ Macro: Risk Integration, Stress Testing, and Reverse Stress Testing

This research develops an approach to expand the Moody's Analytics Global Correlation Model (GCorr) to include macroeconomic variables. Within the context of this document, macroeconomic variables can include financial market variables, economic activity variables, and other risk factors. The expanded correlation model, known as GCorr Macro, lends itself to several functions that facilitate a cohesive and holistic risk management practice.

April 2013 Pdf Mariano Lanfranconi, Libor Pospisil, Andrew Kaplin, Dr. Amnon LevyNihil Patel

Modeling Credit Correlations: An Overview of the Moody's Analytics GCorr Model

The Moody's Analytics Global Correlation Model (GCorr™) is a multi-factor model for asset correlations. This document provides an overview of the GCorr framework, methodology, data used for estimation, and validation. In addition, this document describes the components of GCorr related to individual asset classes and their integration. The asset classes explicitly included in GCorr are: public firms, private firms, small and medium-sized enterprises, sovereigns, U.S. commercial real estate, and U.S. retail.

December 2012 Pdf Jimmy Huang, Mariano Lanfranconi, Nihil Patel, Libor Pospisil

New Methods for Modeling Sovereign Risk in Credit Portfolios

The recent sovereign debt crisis in Europe, along with the global increase in sovereign debt issuance, has motivated credit portfolio managers to renew their focus on managing sovereign risk. In response, Moody's Analytics Quantitative Research Group has developed new techniques for modeling sovereign asset correlations.

October 2011 WebPage Nihil Patel, Heather Russell, Vojislav Sesum

Understanding Asset Correlation Dynamics for Stress Testing

Understanding how the components of asset correlation change through time will allow us to investigate how asset correlation dynamics behave during periods of economic stress. Although the time-varying correlation of equity returns has been extensively researched, we have found few studies on the dynamics of asset correlation over time. In this paper, we explore how both R-squared values and systematic factor correlations change through time. We show that R-squared values are more volatile than the systematic factor correlations. We also study the relationship between changes in R-squared and changes in factor variance, as well as the relationship between changes in factor correlation and changes in factor variance.

July 2009 Pdf Qibin Cai, Dr. Amnon LevyNihil Patel

Maximizing Stress Testing Investment: Strategic Capital Analysis

As new regulations require increased visibility of risk management processes, financial institutions often struggle to find strategic value in new investments beyond regulatory compliance.

WebPage Joy HartNihil Patel

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

In this article, we highlight a new network-based toolkit that helps firms deal with associated regulatory requirements related to single-counterparty credit limits.