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.
This white paper explores why banks must integrate the management of liquidity and interest rate risks under ALM, and move toward true risk-adjusted pricing by implementing the technology platforms that support such solutions.
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.
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.
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.
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.
Are Internal Credit Models for Structured Securities Going Away? An Analysis of the Recent Basel Consultative Document
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.
Basel III Standardized Approach to Counterparty Credit Risk (SA-CCR): Adoption and Implementation Status
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…
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.
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.
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.