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In this webinar, Irina Korablev, Senior Director and Deniz Tudor, Director will discuss various tools that can capture economic, loan-level, and cohort-level data across several asset classes, which can be used for forecasting credit losses and benchmarking internal models.

Many financial institutions are faced with the challenge of effectively developing, benchmarking, and validating CECL compliant models as a result of incomplete data.

In this webinar, our experts Irina Korablev and Deniz Tudor discuss various tools that can capture loan-level data across several asset classes, which can be used for forecasting credit losses and benchmarking internal models. Webinar highlights:

  • Modeling the relationship between macro variables and credit risk
  • Estimating life-time losses using reasonable and supportable forecasts
  • Benchmarking and improving quantitative risk measurement accuracy
  • Generating more realistic cash flows and impairment and provisioning calculations

Related Insights

Leveraging Industry Data for CECL Compliance Presentation Slides

In this presentation, Irina Korablev, Senior Director and Deniz Tudor, Director will discuss various tools that can capture economic, loan-level, and cohort-level data across several asset classes, which can be used for forecasting credit losses and benchmarking internal models.

August 2017 Pdf Dr. Deniz Tudor, Irina Korablev

Reconsidering Risk Management, Governance, and Stress Testing

This article discusses areas such as capital stress testing where simplification of regulations could improve the flow of credit while protecting the financial system.

July 2017 WebPage Dr. Deniz Tudor

May 2017 U.S. Middle Market Risk Report

Report highlights include: Private firm default rates have declined steadily during the past five years. At 1.5%, the rolling 12-month default rate is down 73% from its September 2009 peak of 5.3%. This trend has been driven primarily by a decline in the charge-off rate, now at its lowest level in the past ten years. Banks downgraded 16% of borrowers on their internal rating scales during the past year, compared to 14% in 2015. Among the ten states showcasing the largest change in EDF levels during the past ten years, Oklahoma and New Mexico experienced significant increases.

May 2017 Pdf Stephanie Yu, Irina Korablev, Stafford Perkins, Lin Moon

Data Visualization for Improved Credit Analytics and New Portfolio Insight

Market-leading risk professionals are using advanced data analytics to inform sound risk management decisions. Benchmark data can help financial institutions and corporations achieve a more holistic view of credit risk across multiple industries and regions. Risk managers, portfolio managers, and accounting professionals benefit directly from these best practices. Maintain a competitive advantage with new business insights, and better manage your reporting and regulatory requirements (i.e., CECL and IFRS 9).

December 2016 WebPage Irina Korablev, Grace Wang, Andy Condurache

CECL's Implications for Bank Profitability, System Stability, and Economic Growth

In this article, we analyze the potential effects of upcoming CECL regulations on lenders and explore the impact of CECL under different Moody’s Analytics scenarios.

November 2016 WebPage Dr. Cristian deRitisDr. Deniz Tudor

October 2016 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. At 1.5%, the rolling 12-month default rate is down 73% from its September 2009 peak of 5.3%. This trend has been driven primarily by a decline in the charge-off rate, now at its lowest level in the past ten years. In addition, the rate of borrowers in non-accrual status has decreased 53% since September 2009. The number of borrowers rated “Substandard” has seen a steady increase since the first quarter of 2015, rising above pre-crisis levels, reflecting banks' cautious lending practices

October 2016 Pdf Irina Korablev, Stafford Perkins

May 2016 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. We report trends in four different areas of risk measurement: realized defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. We derive the statistics in this report from Moody's Analytics Credit Research Database (CRD®).

April 2016 Pdf Stephanie Yu, Irina Korablev, Stafford Perkins

May 2015 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. We report trends in 4 different areas of risk measurement.

May 2015 Pdf Stephanie Yu, Brian Waldman, Irina Korablev, Stafford Perkins, Dr. Douglas Dwyer

October 2014 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. We report trends in four different areas of risk measurement: realized defaults, internal bank ratings, financial statement-based information, and model-based risk estimates.

November 2014 Pdf Stephanie Yu, Irina Korablev, Stafford Perkins

May 2014 U.S. Middle Market Risk Report

In this edition of our semiannual report we will examine the decline of private firm default rates over the past four years, the decrease of the number of borrowers rated "Substandard" among other credit risk topics in the US private form credit market.

May 2014 Pdf Stephanie Yu, Irina Korablev, Stafford Perkins

Bank Failure Case Study: Bank of Cyprus PLC

In this report, we demonstrate the performance of the RiskCalc™ Banks v4.0 model on government bailout banks. To demonstrate the use of the RiskCalc Banks v4.0 model, we look at the 1-year Credit Cycle Adjusted (CCA) EDF of the Bank of Cyprus, beginning January 2008. RiskCalc produces a default probability combining bank-specific financial statement information and forward-looking banking-sector-wide equity market information.

November 2013 Pdf Yanruo Wang, Clara Bernard, Irina Korablev

October 2013 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque U.S. private firm credit market. We report trends in four different areas of risk measurement: realized defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. We derive the statistics in this report from Moody's Analytics CRD™ (Credit Research Database).

October 2013 Pdf Shivansh Gulwadi, Irina Korablev, Stafford Perkins, Dr. Douglas Dwyer

May 2013 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque US private firm credit market. We report trends in four different areas of risk measurement: realized defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. We derive the statistics in this report from Moody's Analytics Credit Research Database® (CRD).

May 2013 Pdf Bryce Bewley, Irina Korablev, Stafford Perkins, Dr. Douglas Dwyer, Dhivya Madhavan

October 2012 U.S. Middle Market Risk Report

This semiannual report examines credit risk in the otherwise opaque US private firm credit market. We report trends in four different types of risk measures: actual defaults, internal bank ratings, financial statement-based information, and model-based risk estimates. The statistics in this report are derived from Moody's Analytics Credit Research Database® (CRD).

October 2012 Pdf Bryce Bewley, Dhivya Madhavan, Irina Korablev, Stafford Perkins, Dr. Douglas Dwyer

Private US Bank Default Report: Excel Bank (Sedalia, MO)

On October 19, 2012, Excel Bank (Sedalia, MO) was closed by the Missouri Division of Finance, and the FDIC was named Receiver.

October 2012 Pdf Irina Korablev, Yu Jiang

Validating the Public EDF™ Model Performance during the Credit Crisis

In this paper, we validate the performance of the Moody's KMV EDF™ (Expected Default Frequency) model during the recent credit crisis. We analyze the model performance during the past two years, and compare this performance to the model's longer history (1996-2006).

June 2009 Pdf Irina Korablev

Valuation of Corporate Loans: A Credit Migration Approach

Banks and investors in loan assets have always had difficulty obtaining an unbiased and consistent value for the assets they hold. With the growth of liquidity in the loan market, the demand for a valuation method that can be consistently applied has been growing. However, the problems of loan valuation are complex. In large part this is because of the existence of embedded options and contractual conditions that can significantly affect the value of a loan. In this paper, we present the Moody's KMV methodology for valuing corporate loans, taking into account both embedded options and credit state contingent cash flows. We have found that our valuation and risk measurement methodologies compare extremely well to quotes from the secondary loan market, making their use in broad portfolios with limited secondary market prices both feasible and valuable.

January 2008 Pdf Deepak Agrawal, Dr. Douglas Dwyer, Irina Korablev

CECL's Implications for Bank Profitability, System Stability, and Economic Growth

In this article, we analyze the potential effects of upcoming CECL regulations on lenders and explore the impact of CECL under different Moody's Analytics scenarios. A poorly timed transition could lead to a market-wide liquidity shortage or a crisis in economic activity. We provide suggestions on how the transition to CECL can be managed smoothly for minimal economic impact.

Expected Consumer Credit Losses (ECCL) Service

Through econometric models based on Equifax industry performance data, Moody’s Analytics can quickly deliver net present value (NPV) of forecasts under the CECL standard for “reasonable and supportable” economic scenarios. Ideal for small consumer lending portfolios or as a benchmark for large consumer lending portfolios, we provide a dashboard plus documentation summarizing the results, assumptions, and model methodology. Our service can help you effectively analyze your portfolio for all consumer credit product lines.

WebPage Dr. Deniz Tudor

CECL Solver for Moody's CreditCycle™

CECL Solver for Moody’s CreditCycle solution enables users to generate forecasts of lifetime losses and their net present values (NPV) through custom econometric models under the CECL standard for “reasonable and supportable” economic scenarios. Ideal for medium-size and large consumer lending portfolios with extensive historical data, our fully documented, flexible solution enables clients to effectively analyze their portfolio under CECL standards.

WebPage Dr. Deniz Tudor