Senior Director, Product Management
Nihil Patel is a Senior Director within the Enterprise Risk Services division at Moody's Analytics. He serves as the business lead driving our product strategy related to credit portfolio analytics. Nihil has broad experience in research, modeling, service delivery, and customer engagement. Prior to his current role, Nihil spent nine years in the Research organization leading the Portfolio Modeling Services team as well as the Correlation Research team. Nihil holds a MSE in Operations Research and Financial Engineering from Princeton University and a BS in Industrial Engineering and Operations Research from UC Berkeley.
Implementing an IFRS 9 Solution: Challenges Faced by Financial Institutions
This article provides an overview of the new IFRS 9 standard and analyzes the major challenges financial institutions will face in ensuring compliance. While there is still uncertainty in terms of implementation approaches, we believe IFRS 9 adoption will lead to a more efficient and lower-risk financial system.
Using GCorr® Macro for Multi-Period Stress Testing of Credit Portfolios
This document presents a credit portfolio stress testing method that utilizes the GCorr Macro model to analytically determine multi-period expected losses under macroeconomic scenarios. The document describes the stress testing calculations, includes estimation of GCorr Macro parameters, and presents several validation exercises
Modeling Credit Correlations: An Overview of the Moody’s Analytics GCorr Model
The Moody’s Analytics Global Correlation Model (GCorr™) is a multi-factor model for asset correlations. This document provides an overview of the GCorr framework, methodology, data used for estimation, and validation. In addition, this document describes the components of GCorr related to individual asset classes and their integration.
Modeling Sovereign Correlations
In this paper, we develop a sovereign correlation methodology which parameterizes the Moody’s Analytics Global Correlation Model (GCorr™) and uses sovereign CDS data to estimate parameters. With this methodology, we can determine correlations among sovereign exposures, as well as correlations between sovereign exposures and other asset classes within a credit portfolio.
Applications of GCorr® Macro within the RiskFrontier™ Software: Stress Testing, Reverse Stress Testing, and Risk Integration
This research develops an approach to expand the Moody’s Analytics Global Correlation Model (GCorr) to include macroeconomic variables such as financial market variables and economic activity variables. The expanded correlation model, known as GCorr Macro, lends itself to several functions that facilitate a cohesive and holistic risk management practice
Enterprise Risk Modeling
Moody’s Analytics goes beyond traditional credit risk modeling by taking an integrated approach to modeling all risk types, all asset classes, and their interactions.
Moody's Analytics models accurately calculate stand-alone risk and return measures of instruments in a portfolio, as well as portfolio-referent risk of those instruments.
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