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    CECL Webinar Series: Introduction to CECL Quantification

    In this presentation, our experts Emil Lopez and Jing Zhang, introduce some key CECL quantification methodologies and enhancements that can be made to existing approaches to make them CECL-compliant.

    Implementation of the new financial instruments impairment standard known as CECL may take one to two years, and over 62% of banks surveyed by Moody’s Analytics expect CECL compliance to increase their overall provisions.

    Successful implementation requires understanding the impact of the accounting standard on provisions and identification of appropriate methodologies to incorporate the forward-looking information and life-of-loan horizon required for CECL.

    Moody’s Analytics has designed a series of CECL methodology webinars to help firms of all sizes with the tactical and strategic considerations when selecting the best modeling approach.

    In this first webinar of our series, we cover:

    Strategic and tactical considerations for CECL modeling

    Leveraging existing capabilities

    Implications for business decision-making

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    Climate Risk - the Science, the Economics, and the Time to Act

    Climate risk is increasingly a discussion topic amongst financial market participants and regulators. And yet, there are still many questions about its provenance and impacts, and applications to best practices in the financial sectors. We will address these questions and more in an interactive, informative format.

    November 2019 Pdf Dr. Jing Zhang
    Presentation

    Transmission of Economic and Financial Shocks: Getting Prepared for the Next Downturn or Crisis

    We examine past histories of recessions and crises to identify hidden vulnerabilities and weak links in the economy and financial system. ‍

    November 2019 Pdf Zhong Zhuang, Dr. Jing Zhang
    Whitepaper

    Measuring and Managing the Impact of IFRS 9 and CECL Requirements on Dynamics in Allowance, Earnings, and Bank Capital

    This paper explores how CECL and IFRS 9 might impact loss allowance, earnings, and capital dynamics, and how these dynamics might affect credit portfolio management.

    April 2018 WebPage Dr. Amnon LevyDr. Jing Zhang
    Article

    How to Unlock Benefits from CECL Compliance: 5 Principles

    The primary objective of FASB’s CECL standard is to provide investors with more meaningful and timely information regarding credit risk, but it also presents a unique opportunity for financial institutions to advance credit risk practices, break down silos and strengthen business decisions.

    March 2018 WebPage Eric Ebel, Emil Lopez
    Whitepaper

    Economic Capital Model Validation: A Comparative Study

    Using a long history of public firm defaults from Moody's Investor Services and Moody's Analytics, this study illustrates a validation approach for jointly testing the impact of PD and correlation upon model performance. We construct predicted default distributions using a variety of PD and correlation inputs and examine how the predicted distribution compares with the realized distribution. The comparison is done by looking at the percentile of realized defaults with respect to the predicted default distribution. We compare the performance of two typical portfolio parameterizations: (1) a through-the-cycle style parameterization using agency ratings-based long-term average default rates and Basel II correlations; and (2) a point-in-time style parameterization using public EDF credit measure, and Moody's Analytics Global Correlation Model (GCorr™). Results demonstrate that a through-the-cycle style parameterization results in a less conservative view of economic capital and substantial serial correlation in capital estimates. Results also show that when point-in-time measures are used, the tested economic capital model produces consistent and conservative economic capital estimates over time. A version of this paper appears in the Journal of Risk Model Validation, March 2013.

    February 2018 Pdf Zhenya Hu, Dr. Amnon LevyDr. Jing Zhang
    Article

    Project Finance: The Potential Returns

    Effective risk assessment approaches to project finance must reflect a true understanding of complex issues. These assessments include the macroeconomic context, which provides an early indication of the potential risks and returns of infrastructure investments.

    October 2017 Pdf Dr. Jing Zhang, Kevin Kelhoffer, Jorge A. Chan-Lau
    Webinar-on-Demand

    Empowering Users, Satisfying Auditors for CECL

    In this webinar, Emil Lopez and Olivier Brucker from Moody's Analytics, demonstrates how the Moody's Analytics Credit Loss and Impairment Analysis suite helps financial institutions overcome CECL challenges and implement best-practice allowance processes.

    October 2017 WebPage Emil Lopez, Olivier Brucker
    Presentation

    Empowering Users, Satisfying Auditors for CECL Presentation Slides

    In this presentation, Emil Lopez and Olivier Brucker from Moody's Analytics, demonstrates how the Moody's Analytics Credit Loss and Impairment Analysis suite helps financial institutions overcome challenges with CECL and implement best-practice allowance processes.

    October 2017 Pdf Emil Lopez, Olivier Brucker
    Webinar-on-Demand

    CECL Quantification: Commercial & Industrial (C&I) Portfolios

    In the third webinar in our CECL quantification webinars series, our experts discussed which commercial and industrial (C&I) models and methodologies can be leveraged to fulfill CECL requirements, and key considerations in transitioning these models.

    March 2017 WebPage Emil LopezDr. Janet Zhao
    Presentation

    CECL Quantification:Commercial & Industrial (C&I) Portfolios Webinar Slides

    In the third webinar in our CECL quantification webinars series, our experts discussed which commercial and industrial (C&I) models and methodologies can be leveraged to fulfill CECL requirements, and key considerations in transitioning these models.

    March 2017 Pdf Emil LopezDr. Janet Zhao
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