Senior Director, Research
Dr. Yashan Wang is a Senior Director at Moody’s Analytics where he leads the Research and Quantitative Modeling team for portfolio valuation and balance sheet analytics. He has led several research initiatives in asset valuation, credit migration, joint credit and interest rate dynamics, and balance sheet analytics. Yashan has also worked with global clients and provided training and advice on enterprise risk management, asset and liability management, PPNR, and stress testing. Prior to joining Moody’s Analytics, Yashan was an Assistant Professor at the MIT Sloan School of Management. He has a PhD in Management Science from Columbia University.
IFRS 9 Impairment Regulations: Implementation Challenges and Potential Solutions
This article focuses on the IFRS 9 impairment model and challenges in interpreting the IFRS 9 requirements. We suggest solutions for meeting requirements in areas such as portfolio segmentation, thresholds for transitions among impairment stages, and calculating expected credit losses.
Stress Testing a Securities Portfolio with Spread Risk and Loss Recognition
This paper introduces a framework for stress testing portfolios of credit risk sensitive securities. Specifically, the framework uses a macroeconomic scenario to project stressed expected losses (EL) on the securities by accounting for credit quality changes, recovery risk effects, fluctuations in market price of risk, and interest rates paths. The calculations are carried out analytically over multiple periods.
Modeling Credit Migration of Small and Medium-sized Enterprises (SMEs)
This document details the analysis we perform to better understand SMEs’ credit quality dynamics and to quantify the differences in credit migration between SMEs and public firms. We estimate a set of transition matrices for SMEs based on Moody’s Analytics Credit Research Database (CRD™), a comprehensive dataset containing loan and accounting information for a large sample of SME borrowers. We then validate these transition matrices to show their stability across different sizes and industry segments, as well as across geographies. Our analytical comparison of transition matrices highlights similarities in migration dynamics across different SME segments.
Modeling the Joint Credit-Interest Rate Dynamics on a Multi-Dimensional Lattice Platform: Model Validation and Applications in Risk Integration
This document presents validation results for the credit-interest lattice or the multi-dimensional lattice (MDL) valuation model within Moody’s Analytics RiskFrontier™. We focus on valuations of a large sample of corporate bonds, January 2006 – July 2013. We also produce valuations using the credit-only lattice and compare performance of the two lattice models. We find that model valuations compare extremely well with market transaction prices. Further, the MDL model produces better valuations for high credit quality bonds, especially in higher interest rate regimes. These findings validate the model’s ability to accurately value risky assets while accounting for both credit and interest rate risks. We also compare the bottom-up approach for risk integration implemented in the joint lattice model with a traditional top-down approach.
Analyzing the Impact of Credit Migration in a Portfolio Setting
Credit migration is an essential component of credit portfolio modeling. In this paper, we outline a framework for gauging the effects of credit migration on portfolio risk measurements. For a typical loan portfolio, we find credit migration can explain as much as 51% of volatility and 35% of economic capital. We compare through-the-cycle migration effects, implied by agency rating transitions, with point-in-time migration, implied by EDF™ (Expected Default Frequency) transitions, and find that migration of point-in-time credit quality accounts for a greater fraction of total portfolio risk when compared with through-the-cycle dynamics.
Moody's Analytics constructs quantitative models that estimate default and recovery risk, price credit instruments, enable credit portfolio management, assess commercial real estate risk, and facilitate asset and liability management.
Balance Sheet Management
Moody’s Analytics can help you analyze your exposure to interest rate, liquidity, foreign exchange, and inflation risk with indicators such as gap analysis and net economic value sensitivity.