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    Using Loan Accounting System Data to Model New Origination

    October 2016

    Modeling new origination is important for forecasting the future dynamics of a portfolio, and it is becoming prevalent for banks to use these models for capital and risk management, stress testing, and strategic planning. The main challenge is finding data on new origination dynamics over time.

    In this webinar we propose using the Loan Accounting System data extracted from Moody’s Analytics Credit Research Database to construct and examine new origination dynamics of C&I loans to middle-market borrowers over time, and highlight the different patterns that emerge for different portfolio segments. Our analysis shows how important different types of segmentation are for understanding new origination dynamics.

    Webinar Highlights:

    Loan Accounting System data validation

    New origination of C&I loans

    Understanding new origination dynamics for different portfolio segments (segmented by loan type, tenor, industry, and credit quality)

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    Modeling Correlation of Structured Instruments in a Portfolio Setting

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