Quantitative Research Webinar Series: Modeling Uncertainty in Regulatory Capital and the Impact of IFRS 9 and CECL
Amnon Levy, Managing Director of Portfolio Research at Moody’s Analytics, discusses a novel modeling approach that allows organizations to better manage the supply and demand dynamics for regulatory capital. The approach marries an economic capital (EC) framework with (RegC) and loss accounting rules.
Under loss recognition rules specified by IFRS 9, credit deterioration can lead to more aggressive loss allowance (reducing regulatory capital (RegC) supply as available equity is written off), higher risk weighted assets and higher demand for RegC. Leveraging an EC framework allows institutions to account for such concentration and diversification effects on RegC requirements and helps institutions make better investment decisions.
Webinar Highlights:
Earnings Volatility and Managing Capital SurplusUnified Approaches for Capital Allocation
The Future of Capital Management
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