Moody's Analytics

Moody’s Analytics, a unit of Moody’s Corporation, helps capital markets and credit risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management.

 

All content by Moody's Analytics

Modelling Stressed Losses Given Default (LGD's) for Macroeconomic Scenarios

Company:Moody's Analytics

This white paper explores a validated model for stressed losses given default (LGD’s). It further provides a practical solution for banks and other financial institutions that require public firm LGD estimates for risk management and compliance purposes.

Category: Risk Management | Published: 01 August 2017 | Type: White Paper

Rating: + 18

A Summary of BCBS Interest Rate Risk in the Banking Book Directive

Company:Moody's Analytics

This white paper summarizes the core Pillar 2 approach of Interest Rate in the Banking Book (IRRBB), and the alternative Pillar 1 approach of IRRBB used by certain banks in a few situations. It also includes a practical approach to implementing IRRBB.

Category: Regulation | Published: 05 April 2017 | Type: White Paper

Rating: + 13

The IFRS 9 Impairment Model and its Interaction with the Basel Framework

Company:Moody's Analytics

This white paper explores the growing interaction between risk management and accounting in relation to credit risk modelling approaches, capital ratios, and provisions calculations, as well as data management and governance in preparation for IFRS 9.

Category: Operational Risk | Published: 12 January 2017 | Type: White Paper

Rating: + 31

Maximizing Stress Testing Investment: Strategic Capital Analysis

Company:Moody's Analytics

This white paper focuses on initiatives to enhance regulatory compliance and explores how organisations can use new tools to expand key performance metric forecasting under various economic conditions, to guide and optimize business strategy.

Category: Operational Risk | Published: 04 January 2017 | Type: White Paper

Rating: + 13

Are Internal Credit Models for Structured Securities Going Away? An Analysis of the Recent Basel Consultative Document

Company:Moody's Analytics

This white paper focuses on the proposed changes and their implications for calculating credit risk capital, as well as the proposal’s integration with Basel’s other recent revisions and upcoming initiatives. The paper also discusses what next steps are expected with regard to this proposal.

Category: Basel III | Published: 13 December 2016 | Type: White Paper

Rating: + 9

Basel III Standardized Approach to Counterparty Credit Risk (SA-CCR): Adoption and Implementation Status

Company:Moody's Analytics

This white paper provides a brief introduction to the new standardized approach for measuring counterparty credit risk, its expected benefits, and its actual impacts. The paper further details the potential difficulties associated with its implementation and the current status of its adoption in member... view abstract

Category: Operational Risk | Published: 25 November 2016 | Type: White Paper

Rating: + 20

New Impairment Model: Governance Considerations

Company:Moody's Analytics

This white paper will review some of the most important model governance considerations, including how to approach new modeling needs, key differences between models for CECL and models for AIRB and DFAST, and the differing expectations for less complex banks.

Category: Risk Management | Published: 15 November 2016 | Type: White Paper

Rating: + 15

CECL’s Implications for Bank Profi tability, System Stability, and Economic Growth

Company:Moody's Analytics

This white paper considers the adoption of CECL with an eye toward assessing its potential benefits – and risks – to the financial system and the broader economy. The paper will further provide suggestions on how the transition to CECL can be managed smoothly for minimal economic impact.

Category: Compliance | Published: 07 November 2016 | Type: White Paper

Rating: + 11

IFRS 9 Analytical and Reporting Solutions for Structured Finance

Company:Moody's Analytics

This white paper will set out the specific challenges that investors in structured finance face and guidelines for effective solutions to help address these challenges.

Category: Credit Risk | Published: 06 July 2016 | Type: White Paper

Rating: + 11

Probability-Weighted Outcomes Under IFRS 9: A Macroeconomic Approach

Company:Moody's Analytics

This white paper explores how to develop a framework that addresses the probability-weighted aspects of IFRS 9 and answers questions about the practical use of alternative scenarios.

Category: Credit Risk | Published: 21 June 2016 | Type: White Paper

Rating: + 11