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October 2016

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

In this webinar, we discuss:

Key challenges institutions face when implementing the impairment modeling requirements
Specific relevance of impairment modeling for small and medium-sized organizations
Practical examples of how Moody’s Analytics solutions have been leveraged for IFRS 9
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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.

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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.

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How to Manage the Impact of IFRS 9 on Earnings Volatility and the Supply and Demand of Regulatory Capital

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 discuss the strategic impact of IFRS 9 on earnings, capital, and investment concentration. In addition, we discuss how to incorporate these impacts into a strategic business process to better manage the interplay between supply and demand dynamics for regulatory capital.

December 2016 WebPage Burcu Guner, Dr. Amnon Levy

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

Leveraging Basel and Stress Testing Models for CECL

Basel Advanced IRB models, other internal ratings models, and Stress Testing models were developed by many large financial institutions for capital management. Moody’s Analytics will outline how institutions can leverage these models to comply with FASB’s new impairment accounting standards.

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Risk Chartis IFRS 9 Market Report

International Financial Reporting Standard 9 (IFRS 9) is a high-impact symbolic, operational, IT and organisational transformation event for finance and risk. The Risk Chartis IFRS 9 Market Report focuses on the key challenges for banks implementing IFRS 9, including exclusive content from Moody's Analytics.

October 2016 Pdf Dr. Amnon Levy, Burcu Guner

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.

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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.

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Making Risk Appetite Stick: How Data and Analytics Can Help

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.

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IFRS 9 Impairment - Current ‘State of the Market' Webinar Presentation Slides

In this webinar, we provided some observations of some of the challenges and possible processes banks are considering for their IFRS 9 Impairment Implementation.

March 2016 Pdf Burcu Guner

IFRS 9 Impairment - Current ‘State of the Market'

This webinar provides some observations of some of the challenges and possible processes banks are considering for their IFRS 9 Impairment Implementation.

March 2016 WebPage Burcu Guner

IFRS 9 Impairment Webinar Series – Key Elements & Challenges Ahead

This webinar discusses the challenges of IFRS 9 Impairment calculation and provides market insights for overcoming these challenges.

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Stress Testing Model Validation

This 30-min webinar discusses review of the stress testing model validation process, identifing common analytic and data gaps and discussing best practices in documentation and governance of model validation.

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

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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.

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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.

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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.

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