With COVID-19 continuing to batter the global economy, many banks are struggling to model credit losses as they prepare for their upcoming Comprehensive Capital Analysis and Review (CCAR) submissions as well as 3rd Quarter earnings.

This discussion will focus on the following themes:
  • Models that calibrate the sensitivity of credit losses using the last 20 years of pre-COVID data simply will not pick up on the varying degrees to which different industries are affected by COVID-19
  • Introducing alternative data and analytics to describe COVID induced cultural shifts, and assessing the profound impact of COVID on cross-industry-country credit risk
  • How further fiscal and monetary stimulus programs distance the current environment from being properly described by the historical relationships between credit quality across industry segments and macroeconomic variable
  • The extreme nature of economic scenarios are often out of model range, and not representative of the credit environment
The webinar will
  • Introduce alternative data and analytics to describe COVID induced cultural shifts
  • Assess the profound impact of COVID on cross-industry-country credit risk 
  • Discuss the use and interpretation of extreme economic scenarios


Speakers
  • Anna Krayn, Managing Director, Moody's Analytics (Moderator)
  • Amnon Levy, Managing Director-Research, Moody's Analytics
  • Tim Daly, Senior Director, Moody's Analytics 


If you have any questions, please contact Anita Wai

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches