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Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody’s Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.

Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody’s Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.

Topics include:

  • Ensuring an unbiased, probability-weighted outcome.
  • Incorporating macroeconomic information and probability weights.
  • Forecasting equations and systemic integrity.
  • Econometric modeling approach for retail portfolios.
  • Related Insights

    IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios Presentation Slides

    In this presentation, Dr. Olga Loiseau-Aslanidi and Alaistair Chan discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.

    October 2017 Pdf Dr. Olga Loiseau-Aslanidi, Alaistair Chan

    Weekly Market Outlook: Jobless Rate's Waning Influence on Inflation and the Fed

    The minutes of the July 25-26 meeting of the FOMC indicated that Fed policymakers have become increasingly concerned about persistently soft consumer prices despite higher rates of resource utilization, including the lowest unemployment rate in 16 years. In response, fed funds futures recently assigned only a 44.4% likelihood to a year-end 2017 midpoint for the fed funds rate that is higher than its current 1.125%. Policymakers and some market participants worry that if underlying inflation slows when rates of resource utilization climb, then a destructive bout of price deflation might arrive once resource utilization rates inevitably ease.

    August 2017 Pdf Franklin Kim, Njundu Sanneh, Yukyung Choi, Tomas Holinka, John Lonski, Barbara Teixeira Araujo, Alaistair Chan, Katrina Ell

    Weekly Market Outlook: Liquidity Buoys Corporate Credit

    Long-term fundamentals suggest that interest rates will remain well under their averages of 2002-2007's recovery. If only because of an unprecedented and irreversible aging of the US population and workforce, fears of a disruptive lift-off and extended high-altitude orbit by Treasury bond yields are probably exaggerated.

    July 2017 Pdf Franklin Kim, Njundu Sanneh, Yukyung Choi, Tomas Holinka, John Lonski, Katrina Ell, Barbara Teixeira Araujo, Alaistair Chan

    Weekly Market Outlook: Falling Jobless Rate Thins Spreads, but Fails to Spur Inflation or Spending

    As recently as May 2017, the consensus expected that 2017's second quarter would end with the midpoint of the fed funds target range at 1.125% and the 10-year Treasury yield at 2.5%. Though the consensus prognostication for fed funds was spot on, its prediction of the 10-year Treasury yield will probably prove to be too high. It's doubtful that anyone who correctly foresaw a 1.125% midpoint for fed funds by mid-year also predicted what is likely to be a less-than-2.25% 10-year Treasury by the end of 2017's first half. After reaching 2.62% on the eve of March 14's hiking of fed funds to 0.875%, the benchmark Treasury yield has since eased to 2.16% on June 15, the day after the latest ratcheting up of fed funds.

    June 2017 Pdf John Lonski, Franklin Kim, Njundu Sanneh, Alaistair Chan, Katrina Ell, Tomas Holinka

    Weekly Market Outlook: Tightening Is Toxic Once Fed Funds Tops Ten-Year

    The FOMC is expected to announce a 25 bp hike in the federal funds rate's midpoint to 1.125% on Wednesday, June 14. Despite March 14's 25 bp hiking of fed funds to a 0.875% midpoint, the 10-year Treasury yield fell from March 13's 2.62% to a recent 2.20%. If the 10-year Treasury yield does not climb higher following June 14's likely rate hike, the scope for future rate hikes should narrow.

    June 2017 Pdf Franklin Kim, Njundu Sanneh, John Lonski, Tomas Holinka, Katrina Ell, Alaistair Chan

    Weekly Market Outlook: Broad Measures of Sales and Profits Are Mediocre

    First-quarter 2017 revealed solid operating results for the S&P 500. Nevertheless, other broad measures of business-sector operations have been flat to lower.

    June 2017 Pdf Franklin Kim, Njundu Sanneh, Yukyung Choi, Irina Baron, John Lonski, David Munves, Tomas Holinka, Katrina Ell, Xian Li, Alaistair Chan

    EBA Scenarios for the 2016 EU-wide Stress Test

    The EBA has released its 2016 EU-wide Stress Test. This webinar dissects the scenarios, considers possible narratives driving them and their probability of occurring.

    April 2016 WebPage Petr Zemcik, Anna Zabrodzka, Dr. Olga Loiseau-Aslanidi

    Modelling and Stressing the Interest Rates Swap Curve

    We present a two-step modelling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. Our methodology is able to replicate two important features of the data: the dynamics of the spread across maturities and the alignment of the key swap rates tenor points to their corresponding government yields. Modern models of the term structure of interest rates typically fail to reproduce these and are not designed for stress testing purposes. We present results for the euro, the U.S. dollar, and British pound swap curves.

    September 2013 Pdf Dr. Juan M. LicariDr. Olga Loiseau-Aslanidi, Dr. José Suárez-Lledó

    Modeling and Stressing the Interest Rates Swap Curve

    This article presents a two-step modeling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. The results are shown for the euro, the US dollar, and British pound swap curves.

    WebPage Dr. Juan M. LicariDr. Olga Loiseau-Aslanidi, Dr. José Suárez-Lledó