SF Stress Testing Case Studies

Moody's Analytics offers insight into the latest regulatory requirements by using our award winning solutions for research and case studies.

Insight Icons Powerpoint slide

CLOs and the Simplified Supervisory Appraoch (SSFA)
With the deadline to satisfy SSFA requirements approaching, many banks are eager to understand the formula and how it will affect their capital charges. In this report, Moody's Analytics calculates the SSFA capital charge on a sample of CLO tranches with varying seniority. Details on the SSFA calculation itself can be found in the Appendix.

» Is the SSFA capital charge more or less severe than Basel II?
» How do SSFA & Basel II capital charges compare to historical losses?
» How does tranche seniority and thickness effect the capital charge?
» Does SSFA introduce arbitrage opportunities?

Author: Andrew Jacobs
Date Published: December 2012



Insight Icons Powerpoint slide

Estimating Losses on Resi Portfolios Under the Fed CCAR Scenario 
Moody's Analytics conducted a case study using our loan level credit model, Mortgage Portfolio Analyzer (MPA) to forecast estimated losses on a major US Bank's residential mortgage portfolio under the Federal Reserve's CCAR stress scenario. When compared to the Fed's estimated losses, the results are strikingly similar.

Date Published: August 2012


 Insight Icons Powerpoint slide

Estimating Commercial Real Estate (CRE) Stressed Loss Measures Under the Fed CCAR Scenario
In December 2011, Moody’s Analytics estimated stressed credit losses for CRE portfolios of selected commercial banks under the Federal Reserve CCAR 2012 mandated stress test. The stressed losses predicted by Moody’s Analytics CMM™ (Commercial Mortgage Metrics) model were very similar to those published by the Federal Reserve in March 2012, demonstrating the high predictive power of CMM for rigorous stress testing.

Author: Anuj Gupta
Date Published: December 2011

Insight Icons Powerpoint slide

The Role of Stress Testing in Credit Risk Management
The recent financial crisis has caused risk managers to reevaluate the techniques they use for assessing the risk of extreme losses to their portfolios. Some have argued that the use of distribution-based measures such as VaR and expected shortfall (ES) should be deemphasized in favor of stress-testing and scenario analysis. In this short note we discuss the benefits of stress-testing and scenario analysis.

Author: Roger Stein
Date Published: June 2011