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    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 Surplus
    Unified Approaches for Capital Allocation
    The Future of Capital Management

    Related Articles
    Whitepaper

    Navigating Credit Beyond COVID-19

    As institutions attempt to use established, well-developed models to evaluate the current environment, it is clear these models are not working adequately. This paper introduces new tools that bring together epidemiological, economic, and market data to navigate credit portfolios through COVID-19 and beyond.

    May 2020 WebPage Dr. Amnon Levy, Tim Daly
    Whitepaper

    Concentration Risk Consideration During the Allowance Process and COVID-19's Impact

    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.

    April 2020 WebPage Dr. Amnon LevyMasha MuzykaPierre Xu
    Article

    Non-bank Players are Ready for CECL — Are Banks?

    The initial intent of the CECL guidelines was to make loan-loss allowances more reactive to the credit environment. By setting aside greater allowances, organizations would be better prepared for a default.

    February 2020 WebPage Dr. Amnon Levy
    Article

    The Changing Climate of Credit Risk Management

    While bankers are increasingly managing risks related to changes in policy and technology (also known as transition risk), physical risks are not necessarily an obvious set of primary factors for banks’ commercial credit portfolio managers originating credit with maturities of three to seven years.

    February 2020 WebPage Dr. Amnon Levy, Frank Freitas
    Whitepaper

    The Role of Banks in Illiquid Credit Markets, and the Disruption and Evolution of Credit Portfolio Management

    The combination of new entrants, new technologies and (unintended) consequences of regulatory and accounting rules are driving banks to collect more data and to develop sophisticated tools when designing ever-more robust credit portfolio strategies.

    January 2020 WebPage Dr. Amnon LevyPierre Xu
    Presentation

    Loan Valuation and Credit Portfolio Management Post-IFRS 9, CECL

    RAROC and RORAC solutions that account for allowance and forward-looking IFRS 9 / CECL measures in return and risk.

    November 2019 Pdf Dr. Amnon LevyPierre Xu
    Whitepaper

    Earnings Volatility, Share Price Performance, and Credit Portfolio Management Under CECL and IFRS 9

    This paper studies how earnings volatility induced by credit risk can impact share price performance for financial institutions under CECL and IFRS 9, and quantifies the benefit of an active credit risk management practice.

    April 2019 WebPage Dr. Amnon Levy, Xuan Liang, Pierre Xu
    Webinar-on-Demand

    Moody's Analytics Webinar: Credit Earnings Volatility and Share Price Performance: Implications of IFRS 9 and CECL

    The new accounting standards can have material implications for allowance and earnings dynamics. Join our researchers, Amnon Levy and Pierre Xu, explore a large sample of banks to better understand channels by which the standards affect shareholder value.

    February 2019 WebPage Dr. Amnon LevyPierre XuAnna Krayn

    Moody's Analytics Webinar: Credit Earnings Volatility and Share Price Performance: Implications of IFRS 9 and CECL

    Join us as our experts, Amnon Levy, Managing Director, Pierre Xu, Director, and Anna Krayn, Senior Director, explore the relationship between share price performance and earnings volatility and the implications for credit portfolio management.

    February 25, 2019 WebPage Dr. Amnon LevyPierre XuAnna Krayn
    Whitepaper

    A Composite Capital Measure Unifying Business Decision Rules in the Face of Regulatory Requirements Under New Accounting Standards

    This paper introduces an approach that quantifies the additional capital buffer an institution requires, beyond the required regulatory minimum, to limit the likelihood of a capital breach.

    May 2018 WebPage Dr. Amnon Levy, Xuan Liang, Pierre Xu
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