The new accounting standards can have material implications for allowance and earnings dynamics. Join our researchers, Amnon Levy and Pierre Xu, explore a large sample of banks to better understand channels by which the standards affect shareholder value.
- Understand the impact of IFRS 9 and CECL on earnings volatility
- Explore the relationship between bank’s equity valuation and earnings volatility
- Evaluate credit portfolio management techniques that can reduce earnings volatility and increase valuation
Well-established models that evaluate the current credit environment are not working given COVID-19. Internal ratings cannot update at frequencies required to react well. This paper addresses these challenges, presenting applications users can incorporate into Internal Rating Assessment and Projected Ratings and Loss.
The COVID-19 pandemic has brought credit risks that are unprecedented in size, are fast-changing, and have vastly different manifestations across industries. The uncertainty of impact is driven by epidemiological progression and sociological response, balanced by fiscal and monetary stimulus.
As institutions attempt to use established, well-developed models to evaluate the current environment, it is clear these models are not working adequately. This paper introduces new tools that bring together epidemiological, economic, and market data to navigate credit portfolios through COVID-19 and beyond.
Some Small and Medium-Sized Enterprises (SMEs) in the UK and beyond will have enough working capital relative to fixed expenses to withstand an extended business closure, but many will need help.
COVID-19 created additional complexities for institutions navigating CECL accounting standard. This paper provides a natural quantitative approach for incorporating concentration in the allowance process and portfolio management.
In this webinar we discuss how some Small and Medium Sized Enterprises (SMEs) will have enough working capital relative to fixed expenses to withstand an extended business closure, but many will need help.
COVID-19 will have far reaching effects on the accounting for CECL and IFRS 9.
This paper describes a conceptually sound quantitative and practical approach to increasing portfolio return/risk, details the requisite steps, and shows how they can be effectively performed using Moody’s Analytics PortfolioStudio®, a cloud-based, credit portfolio management solution designed for business users.
The initial intent of the CECL guidelines was to make loan-loss allowances more reactive to the credit environment. By setting aside greater allowances, organizations would be better prepared for a default.
While bankers are increasingly managing risks related to changes in policy and technology (also known as transition risk), physical risks are not necessarily an obvious set of primary factors for banks’ commercial credit portfolio managers originating credit with maturities of three to seven years.