With the implementation of IFRS 9 underway, institutions want to better quantify the impact of IFRS 9 on provisions, result earnings and capital buffers. During this video webinar, we will discuss the strategic impact of IFRS 9 on earnings, capital and investment concentration.
This white paper discusses Moody’s Analytics’ findings on the alignment with TCFD recommendations of reporting by major U.S. and European companies in 2020/21. The analysis is informed by an artificial intelligence (AI) based review of public filings by a diverse population of public firms.
Moody's Analytics Managing Director Amnon Levy, Moody's Analytics Director Libor Pospisil, and Moody's Investor's Service Jim Hempstead presented at the International Association of Credit Portfolio Managers Spring Conference entitled Managing Credit Risk and Emerging Threats: Lessons from the Gaps Revealed by the Pandemic.
High-level overview of the modeling methodologies implemented in RiskFrontier™ and their business applications. RiskFrontier calculates a credit investment's value at analysis date, its value distribution at a user-specified investment horizon, and its marginal contribution to portfolio risk, for every instrument in the portfolio.
We study the impact of COVID on concentration risk, relevant in the context of limit-setting, portfolio allocation, and other concentration-sensitive measures. Analysing a European portfolio, we show how our solutions can be used to navigate the COVID crisis and better understand risk within a portfolio framework.
Crises reveal behavior incongruent to historic patterns, requiring new data and analyses. COVID shows established models did not evaluate credit adequately. The Cross-Sectional COVID Overlay assesses current credit, projected ratings, and loss measures in new ways, anchoring to well-understood starting points and scenarios.
With COVID-19 continuing to batter the global economy, many banks are struggling to model credit losses as they prepare for their upcoming Comprehensive Capital Analysis and Review (CCAR) submissions as well as 3rd Quarter earnings.
We introduce a granular, obligor-level, scenario-based model for rating transition matrices. It recognizes differences in the statistical properties of ratings and forward-looking PDs, deviating from approaches assuming a one-to-one relationship between segment rating and PD or that decouple dynamics of ratings and PDs.
Well-established models that evaluate the current credit environment are not working given COVID-19. Internal ratings cannot update at frequencies required to react well. This paper addresses these challenges, presenting applications users can incorporate into Internal Rating Assessment and Projected Ratings and Loss.
The COVID-19 pandemic has brought credit risks that are unprecedented in size, are fast-changing, and have vastly different manifestations across industries. The uncertainty of impact is driven by epidemiological progression and sociological response, balanced by fiscal and monetary stimulus.
COVID-19 created additional complexities for institutions navigating CECL accounting standard. This paper provides a natural quantitative approach for incorporating concentration in the allowance process and portfolio management.